These worlds aren't being "created out of nowhere" as people imagine it. They are only called worlds because they are regions of the wavefunction which don't interact with other regions. It is the same wavefunction, and it is just being "sliced more thinly". To an observer, able to look at this from outside, there would just be the wavefunction, with parts that have decohered from each other, and that is it. To put it another way, when a world "splits" into two worlds, it makes sense to think of it as meaning that the "stuff" (actually the wavefunction) making up that world is divided up and used to make two new, slightly different worlds. There is no new "stuff" being created. Both worlds actually co-exist in the same space even: It is only their decoherence from each other that prevents interaction. You said that your problem is "how they (the worlds) are created" but there isn't anything really anything new being created. Rather, parts of reality are ceasing interaction with each other and there is no mystery about why this should be the case: Decoherence causes it.