It's something you do *in* make menuconfig.
However, all those config utilities are just frontends. Just open the config file in vim. Suppose you're building the r8169 network code. Change from 'm' for module to 'y' on these lines:
Fidn this line, change from
However, I am of the opinion that there is no practical benefit (only drawbacks) to doing this.
On a desktop or anything fancier, modules are The Right Thing (tm). Static monolithic kernels are more suited for the embedded / appliance / gadget. (The hue and cry of the static kernel fanboi shalt not be heard upon this thread, if you please.)