It's so easy. It's cheaper than buying it, too.
I typically use my own homemade yogurt, but you can use yogurt from the store, just make sure there's no guar gum or other stabilizer. These things keep the yogurt from separating, and separating is actually what you want here. I'll demonstrate with some TJ's yogurt. It's actually really good yogurt and tastes good strained.
Follow the pics and let it drain in the fridge overnight.
Sure, you can get more elaborate with a cheesecloth (or a bandana) and a big colander, but I don't make that much. Plus, it's a mess to clean up. This makes just enough for a serving or two, which is enough for a treat.