Make sure you have cmake on your path, and have cloned the entire source tree (including submodules) locally.

git submodule update --init --recursive

Then simply run package_osqp.m from within MATLAB. This will compile the interface and package it as a osqp-matlab-<platform>64.tar.gz file. This can also be done on the command line:

/path/to/matlab -nodisplay -nosplash -nodesktop -r "cd package; package_osqp(); exit;"

Additionally, you can pass a version number to the package_osqp function. This is done automatically for the Linux platform by Github actions (by looking at the release tag), but would have to be done manually for Windows/MacOS. For example,

/path/to/matlab -nodisplay -nosplash -nodesktop -r "cd package; package_osqp('0.6.2'); exit;"

Once the .tar.gz files for Windows/MacOS have been generated, upload them manually to the appropriate release as assets (Release -> Edit -> Upload files).