No, you can make it in any dimension. Just put 4 soul sand down in a T-shape and put 3 wither skulls on top.
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Wither skeletons will only spawn in the Nether Fortresses. The Wither Skeletons are rare mobs that are only in the Nether, more specifically the Nether Fortress. Unlike regular skeletons the wither skeleton carries a sword and when hit by a Wither Skeleton you will be come infected by the wither effect.
Use a spawn egg in creative or look for a nether fotress where they spawn.
first you will need to got to the nether to collect soul sand. You will have to place 4 soul sand like a letter T. Then you need a few charged creepers to blow up 3 wither skeletons then lace the 3 wither skeleton skulls on top of each soul sand block. Shoot down the wither with a bow or a cross bow wither strong enchantments. When the wither go es to maling mode which is half way, use your netherite sword to kill the wither boss. Once the wither boss dies, he will drop a nether star.
Make a T of Soulsand, and put wither skeleton heads ontop
You have to find them in a nether stronghold. You can plant them in soulsand on the overworld once you have some from the nether.