most HEAs have been produced using liquid-phase methods include arc melting, induction melting, and Bridgman solidification. Solid-state processing is generally done by mechanical alloying using a high-energy ball mill.
For more details, please see the source at: https://en.wikipedia.org/wiki/High_entropy_alloys
....and the following, interesting paper:
Processing, alloy composition and phase transition effect on the mechanical and corrosion properties of high entropy alloys: a review
Kenneth Kanayo Alaneme, Michael Oluwatos inBodunrin, Samuel RantiOke
Dear Graham Straley, I can join to the previous answers - foundry and additive manufacturing. Our group has performed the laboratory production of HEA using arc-melting, suction casting, and additive manufacturing using blended powders.
if it will be relevant have a look:
Article Selective electron beam melting of Al0.5CrMoNbTa0.5 high ent...
Article Microstructural Evolution and Phase Formation in 2nd-Generat...