It is produced by the sun, and together with other charged particles they stream towards Earth all the time. But the Earth's magnetic field is strong enough to deflect most of the charged particles, and hence most of them end up on the moon, where the magnetic field is far weaker than Earth's.
First of all, the concentration of Helium-3 on the moon is somewhat disappointing. Soil samples taken from the moon revealed that the concentration of Helium-3 is only 0.000003%, i.e in a kilogram of soil, we can only get around 3 milligrams of Helium-3. Tenaga Nasional Berhad (TNB) generated a total of 108539 Gigawatt-hour of electricity in 2007. To generate that amount of energy, we would require at least 660.48 kg (conversion rate of 493 megawatt-hours per 3 grams of Helium-3) of Helium-3. To acquire that amount of Helium-3 from the moon, we will have to dig up at least 220160 tonnes of moon soil.
I don't know about you, but I'll stick to the conventional fission energy.