Fabrication technique of $(Th,U)O_2$ pellets has been investigated. Powder mixtures of $ThO_2;and;UO_2$ were milled in two different ways-dry and wet milling. Milled powder was compacted and sintered to $(Th,U)O_2$ pellets. The wet-milled powder leads to a $(Th,U)O_2$ pellet having a high sintered density and uniform distribution of U and Th, compared to the dry-milled powder. The sintered density of a $(Th,U)O_2$ pellet tends to decrease by increasing the content of $ThO_2$. The thermal conductivity of $ThO_2;and;(Th,U)O_2$ pellets was measured by the laser flash method. The thermal conductivity of the $ThO_2$ pellet is higher than that of the $UO_2$ pellet, and the thermal conductivities of $(Th,U)O_2$ pellets containing $65wt\%;and;35wt\%;ThO_2$ pellets are lower than that of the $UO_2$ pellet.