The basic PetarK method basically involves wrapping your wire around a drill bit, or something of suitable diameter to fit in the wick hole on the unit, connecting the coil, and then rolling your wick so that it slides fairly easily down through the already mounted coil. Many beginners find this the easiest, and continue to use it, even after gaining experience. The trick is in sizing the wick to exactly the same diameter as the inside of the coil, and having the wick perfectly round.
The other most common method is, as Zen has demonstrated in his videos, rolling the wick, putting it in the hole, connecting the negative connection, and coiling the wire around the installed wick, finishing off by connecting the positive. This method requires some practice, because the important thing is learning the proper tension of the wire around the wick.
There are other methods, such as putting a layer of cotton around the wick, by brushing the wick on a cotton ball; or wrapping a piece of cigarette paper around the wick, where the coil will eventually be. Personally, I've never cared for either of these methods. To me, they are crutches.