They’re mostly self-taught
Despite our biggest hopes and dreams of going to Hogwarts, there is simply no such thing as a grand wizard school in which all of the greats go to master their craft. No, for the most part, it’s books, DVD’s, online research, and the imagination of the magician him/herself.
Like any other performance act, a big key to success is being original and coming up with your own tricks. This is what most illusionists try to do when they are locked away working at their craft.