How have "natural" permanent magnets been magnetised? Is there a generally accepted theory about how permanent magnets on the earth have been magnetised by natural processes? We have earth's natural magnetic field that could be responsible but in order to have it strong enough to magnetize ferromagnetic materials you possibly need to go too far inside where the temperature is higher than the Curie temperature.
 A: They are called lodestones.

The process by which lodestone is created has long been an open question in geology. Only a small amount of the magnetite on the Earth is found magnetized as lodestone. Ordinary magnetite is attracted to a magnetic field like iron and steel is, but does not tend to become magnetized itself; it has too low a magnetic coercivity (resistance to demagnetization) to stay magnetized for long. Microscopic examination of lodestones has found them to be made of magnetite (Fe3O4) with inclusions of maghemite (cubic Fe2O3), often with impurity metal ions of titanium, aluminium, and manganese.This inhomogeneous crystalline structure gives this variety of magnetite sufficient coercivity to remain magnetized and thus be a permanent magnet.
The other question is how lodestones get magnetized. The Earth's magnetic field at 0.5 gauss is too weak to magnetize a lodestone by itself. The leading theory is that lodestones are magnetized by the strong magnetic fields surrounding lightning bolts. This is supported by the observation that they are mostly found near the surface of the Earth, rather than buried at great depth.

also from one of the references:

Abstract
Magnetite and Titanomagnetite exhibit magnetic properties which are attributable to the micro-structures developed during oxidation and exsolution: All magnetite iron ores which are lodestones contain maghemite. These lodestones have Hc between 10 and 30 mT, SIRM between 8 and 18 Am²kg¹ and RI between 0.10 and 0.26. Magnetite, titanomagnetite and metals have REM values (ratio of NRM to SIRM) < 0.05. Samples (called fulgarites) obtained from the Smithsonian Institution have REM values ranging from 0.45 to 0.92. The REM value serves as a witness parameter to the magnetic fields associated with the lightning bolt. If a high REM value (say ≫ 0.1) can be verified as not to be due to contamination by man and does not contain MD hematite then the rock has LRM (lightning remanent magnetization). The magnetic field associated with lightning can be revealed from an isothermal remanent acquisition (RA) curve.

