The method I use is to shape a hold in florist foam (oasis foam) and to cast a negative in RTV silicone; this silicone is very flexible and strong, albeit expensive, and cures in around 12-18 hours. I then cast my holds using polyurethane resin; a two part liquid system which I believe is the same as/similar to the material commercial holds are made of. This resin turns out really strong and non-brittle so has less chance of breaking when tightening against a wall or climbed on.
Florist foam - I used a brand called Oasis. I tried the dry and wet foam and found the wet green foam gives a better texture
RTV silicone (room temperature vulcanizing silicone) - comes in two parts silicone + catalist
Polyurethane resin - comes in a two part liquid
Paper clip - optional i used it for stamping in to my hold
M10 bolt and washer - used for reference and making a hole through the hold
I got all of my materials apart from the paper clip from ebay and should be available all over the globe.
10mm drill bit
Cone nose pliers
Plastic mixing cups