The formation of the FeSe compound from a mixture of Fe and Se powders encased in a composite Cu/Nb sheath was studied in situ by means of high-energy synchrotron x-ray diffraction. Tetragonal beta-FeSe does not seem to form directly from the starting elements. Instead, a sequence of FeSe2, Fe3Se4 and Fe7Se8 phases formed prior to the main formation stage of beta-FeSe at 350-370 degrees C, although a small amount of this phase appears at 250 degrees C already during a heating ramp of 2 degrees C min(-1). beta-FeSe transforms to delta-FeSe around 480 degrees C and back to beta-FeSe at 405 degrees C during cooling. There is no evidence for any interface reaction between the metal sheath and the superconducting core.