Speaking for myself, I look through name books and my odds and ends collection of language dictionaries, play around with things, attempt phonetic shifts, and wait till something feels right.
I had one character I wanted to name Lilith. It was a good inside joke. It made her sound as if she was almost named after another character, Lily, while having a name with the exact opposite implications. But the character wasn't listening. Then, I saw a picture of Judith from the Apocrypha (James C. Christensen's. Judith is smiling charmingly, dressed in a feminine medieval style, with a big sword cradled in her arms) and that's when the character had her name. I didn't like it but I lost the argument.
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