How to make all interactions before using glmnet

Yes, there is a convenient way for that. Two steps in it are important.

library(glmnet)
# Sample data
data <- data.frame(matrix(rnorm(9 * 10), ncol = 9))
names(data) <- c(paste0("x", 1:8), "y")
# First step: using .*. for all interactions
f <- as.formula(y ~ .*.)
y <- data$y
# Second step: using model.matrix to take advantage of f
x <- model.matrix(f, data)[, -1]
glmnet(x, y)

f <- as.formula( ~ .^2) should also work for including main effects and all pairwise interactions