If you were a really good sculptor or woodcarver it might be possible to carve one - after all it is just a 3 dimensional shape.
As for moulding ... There is a very old technique called lost wax casting. You could make a strip from a nice thick strip of wax, put a sprue on it and use the method to create a mould. You'd have to burn the wax off and replace it with metal and then remove the sprue and clean up the resulting strip, but it could be done. I've also come across a page showing photos of knitted and croched strips, and a couple of pages with photos of Mobius earrings. And if you haven't come across them before, trihexaflexagons are also Mobius strips.
In real life a Mobius strip does have practical applications, a Mobius resistor is one.