Keyboard layout specific. Macs with their default English layout use “option-shift-dash” which is really easy to remember (and relatively discoverable, as such things go) which is why using proper m-dashes (not just double-dashes) used to be a strong indicator a poster was using a Mac, before LLMs took the character over.

On iOS you type it by pressing dash and holding until alternative options come up, same way you type e.g. accented characters.