We do not know at this moment of time how they became Chevaliers.
It is assumed that Zundar, the mysterious creature similar to a hedgehog, gave each member a Conquest Ring.
Each member has a different Transformation when they put on their Conquest Ring.
We dont know if they have Beams or similar Love Sticks.
When they put their Conquest Rings together with the Zundar Needle created by Zundar, they can turn a person that has conflicts in their emotions to become Loveless.