There are a couple of ways of making one, but mostly, double entendres make use of one word in a sentence that has two different meanings. In the example above, the word "call" could mean addressing you by name ("I'm going to call you Maurice, after the Rocket"), or it could mean making a call on a phone. ("Let me call you a cab.") But you knew that.
The most common examples use an innocent expression combined with a second meaning that is naughty in nature, like (cover your eyes Auntie), "I can't leave her behind alone." Groucho made good use of this kind. His most famous naughty double entendre may well be "If I told you you had a beautiful body, would you hold it against me?" Benny Hill, Mel Brooks and John Cleese also made good use of this one.
Another Groucho gem, "I once shot an elephant in my pajamas. How he got in my pajamas I'll never know."
Used with a modicum of taste, double meanings of words can be great wordplay and engage listeners or readers. Even Sir Winston Churchill understood this. “A politician is asked to stand, wants to sit, and is expected to lie.”
But my favorite double entendres have to be the ones that crop up innocently in the course of normal conversation, have me rolling on the floor with the person who uttered it going "What? WHAT?"