Most people make CDs nowadays. However, I do know a few labels that still do vinyl and there’s one that’s quite cheap.
There are basically two ways to do this:
Plan A: you go around with a demo and try and persuade a record company to invest money in your song. Hopefully they’ll advertise it and it will be a big hit, and they’ll get a huge return on their investment and you’ll also get a decent cut. Or maybe it won’t be that big, but big enough. This to be honest, is an unrealistic plan, especially in today’s economy. Even if you’ve just written the next “Let it Be”.
Plan B: you go out and make it yourself. Ever heard of the little red hen? You just take it to the factory, pay them some money to make a few hundred copies (say $1000 should be enough for starters) and sell them to your friends to get back your original investment. Now you also have a finished product that you can take to record companies, give to radio stations etc. If it is good enough, don’t worry, someone is bound to knock on your door sooner or later. You might not make that much this time round, but if you’re that good you’ll have more songs in you.
PM me if you want help or extra details.