Yes, indeed! I, and others, have even used cotton off the end of a Q-tip.
I'd rather use organic ones. My wife found me some in the health food store, even cheaper than at Wal-Mart. They look like marshmallows and are rolled like a bail of hay. It's easy to pinch and pull off a circle of the proper thickness and the wick is virtually made right there--just needs a little trimming.
Here's one video about micro coils and cotton. You can use a 1/16" drill bit instead of the 16 gauge filler needle. This takes all of about 10 minutes once you get familiar with it and the cotton takes only a minute to change.
Note: Don't fire the coil and squeeze it at the same time--you'll short it. Notice he's come off the button and the glow is fading before squeezing the coil.
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