Sigmar takes a soul of a brave warrior which is close to, or freshly dead (usually after some sort of heroic feat), works it over the avil of apotheosis, imbuing the soul with part of his immortal power. Then using arcane magics, he and a few dwarf minor gods give the souls body again.
They are demi-gods in every meaning of the word- faster, stronger, requiring almost no food or drink, but you can still kill them. Once they die, their souls are sent back to sigmar's realm, where they wait to be reforged again. That's a...traumatic experience which "beats out" more and more mortality out of their souls, leaving them with memory gaps, changed personalities, and sometimes physical traits (like bleeding light through gaps in armor).