The process is called extruding. You grind your very dry organic material into a fine powder, depending on material you may add a binder agent, then press it with 10,000 psi+ into pellet mold, usually a rotating type, then cool the final product. A new commercial unit is about $500,000. A used feed mill type is about $30,000 in working condition. I did see a straw log maker(identical process, just bigger pellets) on EBay about a year ago in Texas selling for $7000.00,(not in working order) Original cost was $300,000 from a German company.
I onced worked for duck company that pellitized all of their feed. Simple process, uses a extreme amount of pressure. The pressure melts the natural wax in most grains and uses it as the binder agent.
It is not economical unless you want to make several thousand tons of fuel. Actually with corn below $2.50 a bushel, corn is cheaper than wood pellets at $100/ton.
I have seen a wood chip burner before, it is similar to a pellet burner, but burns chips processed through a commercial wood chipper. Generally, you can not burn sawdust directly, due to it's explosive tendencies.
Personally, I like a corn burner as is; relativly cheap, very clean, and farmer freindly.