This mold can be made of many different materials. At the high end, metal is the longest lasting. But wood, high-temperature epoxy, and even plaster and modeling clay (for limited runs) can be used.
If you have access to a 3D milling machine (or 3D printer), plus skill and access to 3D software, you can create a 3D model and then an actual 3D mold directly from your model. You'll may need to add vent holes, but the mold should be largely useable as is.
However, and the point of this Instructable, If your design consists of basically flat surfaces at different heights, a fast way of accurately making thermoforming molds (especially multiple copies) is to use a laser engraver to cut layers out of acrylic, then glue them together in a stack. The result can even include vent holes.
In this Instructable, we'll use the example of a Power Supply for a Ferrous Gentleman (from the third motion picture). First, the design will be created in a vector graphics program. This will be separated by height to produce separate cut geometries for each layer (including vent holes). After cutting, the layers are glued. Finally, draft is added (if required).