My favorite:
Aunt Lydia's Bamboo Crochet Viscose, # 10 from Michael's
Set up your NR wire however you normally do, and wrap your coil on a 14 awg needle (I use 9-10 wraps of 30 awg kanthal)
Lock your coil in and keep the 14 gauge needle inside so it keeps its shape
Loop the bamboo around two fingers 3 full times
use a piece of kanthal to hook the loop and then feed it
through the coil (after taking out the 14 gauge needle).
Cut loop ends and pull on strand out gently for a total of 5 threads
vape away
When you're ready for a new wick (5-7 days for me) just pull out the old one, and slide a new one through. Don't disturb the coil.
I never boil the wick (almost), but many people do. Probably best to boil it.
EDIT: The 5 thread wick may seem loose at first. It will swell and expand with a vengeance over a day or so. Sometime I end up pulling out another strand for a 4 strand wick.
I've never used candle wick, but gauze or cheese cloth work excellent as well. I just like the aunt lydias because its easier for me to do the same thing everytime in a matter of seconds, and it seems to last longer for me as well