Ancient texts, illustrations, tomb and temple paintings, old tools and artifacts that have been dug up, examimation of their buildings for tool marks, etc. There are people who specialize in such things. I'm not one of them.
Actually they do not know at all how they were built. A year or two back they were proposing kites as a way in which the pyramids might have been built. This shows to me at least that there are indeed no records as to the technology used in building the pyramids.