Microinjection method in C. elegans
What they're doing is called two-step PCR. In step one, some gene-specific primers with tags amplify genomic DNA, but the product has adapter regions now added to each end. In the second step, you add primers that complement the tag/adapter region and have T7 promoter sequences at the ends. Your second product will have the adapter region, and the T7 promoters on the outside. The paper you provided shows they just modified the process: the first product is the gene of interest flanked by part of the T7 promoter, and the second product is the gene of interest, the T7 promoters, and restriction sites for cloning.



Design and implementation of high-throughput RNAi screens in cultured Drosophila cells

It looks like from what they know, adding the partial T7 in the first step is just optimization for their procedure. You want to add those restriction sites to wherever you can imagine you want your insert cut by the endonuclease. In a ligation step for inserting the gene fragment, you'll have cut your plasmid open with the same restriction enzyme you use to cut the insert, so that it ligates in nicely. 

The HT115 strain has some nice properties you can read about here like a lack of RNase III that would degrade dsRNA, so it's suitable to produce the actual dsRNA inside of, and for the feeding experiment this is fine. For microinjection, they're using in vitro transcription kits to get dsRNA from the PCR product, which should be a gene of interest flanked by T7 promoters and restriction sites. T7 polymerase will simply transcribe everything downstream of it's promoter, so we don't have to worry about the restriction sites except for the feeding experiment. 

MEGAscript® T7 Kit

The above kit comes with a T7 enzyme mix, NTPs, DNase, reaction buffer, a stop solution, precipitation solution, etc. You should be able to follow the manufacturer's direction and get 100 µg RNA per reaction, according to the webpage. Then you purify the dsRNA. It's literally just T7 polymerases transcribing whatever is between the two promoters into dsRNA -and for that kit, linear DNA does work- and then you degrade any DNA, leaving you with the dsRNA.