] The idea was tested at a unique facility of the New
] Mexico Institute of Technology, the Langmuir laboratory.
] That lab, a center of lightning studies, was built on top
] of South Baldy Mountain near Soccorro, New Mexico, the
] location of frequent lightning strikes. By placing
] mineral samples where lightning would hit them, Dr.
] Wasilewski turned magnetite with appropriate crystalline
] structure into lodestones.

Some information on the NASA website about research into how lightning can create magnetized lodestones.