Watch me machine this part here:
http://www.youtube.com/watch?v=1ryR4s1g3z8

It's a big piece of aluminium billet with a couple alignment rods/holes and two half spheres cut into the inside face on each chunk.

The thermal heat capacity and sinking capacity to surrounding air, as well as the weight of the top chunk melt and form the ice into a sphere. Running warm water over it to give it a bit of heat to start helps it go a bit faster.

The ice spheres are great for use in scotch/whiskey, as the low surface area to volume ratio make for an optimally slow melt rate.