Here are the murders used to create each of the Horcruxes (from JKR web chat)
The diary: Moaning Myrtle
The ring: Tom Riddle Snr.
The cup: Hepzibah Smith, the previous owner
The locket: a Muggle tramp
The diadem: an Albanian peasant
Nagini: Bertha Jorkins (Voldemort could use a wand once he regained a rudimentary body, as long as the victim was subdued)
From this we may conclude that the murder doesn't have to be made using a wand (Avada Kadava curse) - I don't know why, but I was convinced that it had to be. The rest of the process is still unknown.