Some wash, boil or otherwise clean it. I don't bother, but use sterile cotton from the pharmacy.
Just tease some out, roll it between your fingers to make your wick. Not too tight - you should be able to move it without much resistance inside the coil. Not too loose, either. Finding the "happy place" may take a couple tries. Too tight and when it gets wet and swells it can choke off the flow. Too loose and it won't wick fast enough.
Twirl one end tightly to
thread the coil. Easier if you moisten it. You'll be clipping off the excess anyway.