Where? No idea. How? By huge print-run machines.
Transport? UPS or FedEx, as normal.
They're all coded with silly titles so the transport companies have no idea what they're transporting. www.imdb.com (movie database) even has a section which can tell you the fake title that was used for each blockbuster. ("Lord of the Rings Return of the King" would be more of a temptation for UPS employee #2732 than Postman Pat gets a puncture")
After the film is finished I think a few of them are kept, but most are pulped/recycled. They're seriously expensive.
There are some forays being made into pure digital projection for cinemas, which of course means no physical film / lower piracy risk / lower transport costs / production costs but the overwhelming problem seems to be, well, that it's just not as good. It will happen, not just yet.