How exactly are nucleoli made of NORs?
No there is no membrane that separates the nucleolus from the rest of the nucleus. The nucleolus is an aggregate of all kinds of molecules involved with ribosome assembly like: precursor and mature rRNA, Small nucleolar RNAs, rRNA-processing enzymes, ribosomal proteins and partly assembled ribosomes (but no fully functional ribosomes)

Aside from all these protein and RNA there are indeed regions of the chromosome called Nucleolus organizer regions (NORs) present in the nucleolus. These NORs are located near the tips of the short p region of chromosome 13, 14, 15, 21, and 22. During interphase these regions decondensate due to proteins like nucleolin and are thus open for transcription. Many of the protein I mentioned are needed to form or present in the aggregation that is the nucleolus.