Here's how they become Magic Knights (note that nobody calls them "Magic Knights" as they were referred to in the TV series):
First, Hikaru spotted Mokona and was told by Lexus that "you must safe the world" and all that stuff. Then Hikaru got this little red ovum on the back of her hand that comes with all her magical powers. Cefiro was heading for Earth and will destroy everything when it arrives, but before it did, Alcyione popped up with her Mashin. Lexus "talked" to Hikaru again and she summoned him. That's how Hikaru became a Magic Knight.
For Fuu and Umi, their understanding was you get that little ovum on your hand, you get magic, you become a Magic Knight, and you die fighting :P So they didn't want to become one, but since they saw that everybody is disappearing and it's not going to get any better if they just keep running away, Fuu went up to Mokona and asked for the ovum. She was "talked into" becoming a Magic Knight by Windam. Then Windam said Fuu must find him before she can summon him. Ferio then shows up with his little metal bugs and finally got Fuu into a desperate situation when she manages to find Windam in a stadium.
Umi did not want in to become a Magic Knight at all, but did become one after Asscot threatened to kill her after he seemingly killed Clef. Umi ran for her life towards a habor (it's a deadend, but was the only way to run). Then as she was nearly crushed by the big crab like bug of Ascot's, Seresu "told" her to summon him in order to survive. Umi had no choice but to do so. Seresu turned into a Mashin and the rest, as they say, was history.
And who said you can only become a Magic Knight by going to Cefiro?