Is it said anywhere in the series how Andalites have babies? The same way as humans do, another way (explained please) or it isn't told in the Animorphs books?
They have male and female, so they use sexual reproduction. Being children’s books the details are probably not going to be mentioned.
(I should add that, from a biological standpoint, having male and female, and reproducing sexually, does not necessarily imply that the males and females play the same roles as in human reproduction. There are a few species on Earth where what the 'male' does and what the 'female' does is rather different.)
They don't lay eggs
In a Discord interview on 1/13/2018, Michael Grant (the co-author of the books) said that he did not think Andalites laid eggs.
No recording or transcript of the interview exists, but there was a summary compiled of what was said.
Q: Do Andalites lay eggs?
Grant doesn’t think it’s likely.
As far as I know this is the only official word that's ever been said by the authors about Andalite reproduction. Unless you count stuff like this.