Eggshell is used for it. You remove the top of the egg carefully, then use the egg itself as you like, wash the eggshell properly and let it dry. Collect as many eggshels as you need, then put something you like inside (vegetables, garden stuff, ham, anything you like and think will go well together) and pour in the broth (the one is cooked for холодец usually).
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The simplest way would be to use egg-shaped plastic molds, which are widely sold for making "gelatin Easter eggs":
The more difficult/and traditional way is described in Hoax's post. But plastic molds seem to be much simpler! (Although I've never tried it, because I consider холодец to be the work of Satan... but at least it looks pretty when shaped as an egg!)
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