Now for your answer:
According to a girl in Solaceon Town, where one of many Pokémon Day Cares are located, no one has ever seen a Pokémon lay an Egg, and so it is not confirmed that this is how they appear. No alternate explanation for their creation is offered, however, and most assume that the details are not gone into to keep the games appropriate for all audiences.
-Bulbapedia.
