I use a paid-for Celtic knot font, that's difficult to use, but with two different styles of knots and complex knotwork. Then I create the sliced beveled shapes and drop shadows beneath the font knots to give it that 3D effect. Since the knots end up rather rectangular, I sometimes make small squares of knots, then in Xara, I apply a shape envelope that forces the square into a circle. Otherwise I hand create more complex or specific designs that the font cannot handle. I usually put out two maps a year with Celtic knotwork borders.
As an aside, I recently learned that Celtic knotwork is not really Celtic. The Lindsfarne Book and the Book of Kells, both bibles illuminated by Irish monks in those communities named in those bibles. However, the artists were following a Danish knotwork tradition, they just happened to be in an Irish monastary at the time. So Celtic knotwork is really Danish knotwork - I'm doing lots of research for a Celtic setting, and that was a recent discovery.