Any time you want to know about an element go to WebElements. Neon occurs naturally in air at one part in 65000, so it is pretty rare, but it's all around us. Neon is an inert gas, which means it doesn't react with anything, so it comes pure. It is not corrosive as it does not react with anything.
Neon is collected by companies that make "liquid" air. These companies use the liquid air to make compressed gasses found naturally in air, such as nitrogen, oxygen and carbon dioxide, all of which have many medical and industrial applications. Companies that "make" neon, obtain it from liquid air by a process called fractional distillation. Air is first cooled and pressurized until it liquefies. It is then gradually warmed and anything that boils off at -246.08°C (the boiling point of neon) is carefully separated and collected. This all happens in very cold and pressurized conditions--and you need a lot of air to get a bit of neon. Other inert gasses such as helium, argon, and xenon are made in the same way.