We first had to convince them that we really really wanted one (part 91 yaaaay), then it was pretty much as AB stated, we submitted different callsigns and three letters and ended up with the one we have. You get a letter stating that your company is authorized to use the call sign and three letter and there you have it. It was really easy once we got past the whole "Why do you want that?" "We just DO OKAY?!!!!oneone"
I don't remember if we did it through the local FSDO or if there was someone in OKC we had to talk to, but your local FSDO should at least be able to direct you to the right person.