Audrey

You have to buy a tank of compressed CO2, and a special cloth bag attachment. The phase change from a room-temperature (highly pressurized) liquid to a gas causes a massive drop in temperature; much of the gas will simply escape through the cloth, but some of it will collect into little pellets of solid CO2 via deposition.

Pengin isn't lying; you lose a lot of the CO2 to the atmosphere, there's a risk of asphyxiation if you do it in an enclosed space, and you also risk frostbite/"cold burns" if you're not wearing proper safety equipment.

You can make tiny bits of dry ice with a home soda carbonator if you try hard and believe in yourself*

*give it way too much gas because you want to see all the little lights turn on