Thomas,
Once you have researched Terror Star, you build them by creating a Starbase and building military modules that begin with Terror Star. There are five TS modules, which means you'll need that many constructors.
Peter is correct in that Terror Stars only move 1 space per turn, so they take a long time to move somewhere. However, be careful not to build a Terror Star too close to your enemy as they will demand you give it to them or go to war. This can happen to you even if your "enemy" has Close relations (but not if you are Allied).
Also, be aware that Terror Stars are very, very vulnerable to attack. If you plan on keeping one around, be sure to build lots and lots of defense modules!
Terror Stars can be built on resources as well allowing you to move the resources closer to your own territory. This can be useful in protecting resources during wartime.
Terror Stars can be mobile culture bombs. Build Party Palaces on board your Terror Stars and then move several into an adjacent sector and watch the systems flip!
Hopefully this little overview on Terror Stars will help you out!