The tale of the making of Mjǫllnir (and other treasures of the Norse gods, such as Odin's spear Gungnir) is told only in the Prose Edda by Snorri Sturluson.
Jackson Crawford, Ph.D.: Sharing real expertise in Norse language and myth with people hungry to learn, free of both ivory tower elitism and the agendas of self-appointed gurus. Visit JacksonWCrawford.com (includes bio and linked list of all videos).