Rock thin sections are cut using diamond saws and lapping wheels. In the past, I have had access to the proper equipment and attempted this myself, but doing it right is an art and is best done by someone who does it all the time, has "the touch" and lots of experience.
I used to use a firm in Tucson called "Western Petrographic", but they are no longer in business. A google search turned up a number of outfits offering to cut thin sections for a price, including:
Arizona Quality Thin Sections Who (as of 2011) offer to cut thin sections for $16.00 each, which seems reasonable.
Arizona Quality Thin Sections 9835 East Celeste Drive Tucson, Arizona 85730 (520) 884-9935 email@example.com
A standard thin section is cut 30 microns thick, and is 24x36mm in size (the exact size of a 35mm negative). Cover glasses are optional.
Here is an interesting story about how one fellow built up his Olympus Petrographic Microscope
Tom's Mineralogy Info / firstname.lastname@example.org