I boiled like 1/4 of a bag of cotton balls, dried them and tucked them away in a bag. The boiling is to get any residual chemicals from processing out of them, so let them simmer for 1/2 an hour, change water and do it again... then rinse, wring and let air dry for a couple of days until you are certain that they are dry to the core.
Then, you'll see that each 'ball' is actually a little bail that can be unrolled into a puff of fibers, all in the same direction. Tear a section of this off lengthwise, maybe the diameter of a pencil before compressing it.
Twist this into a wick. I go pretty tight, others may tell you to go looser. The thing is, that the cotton will expand a lot as it absorbs liquid, so you have to find that right balance between dense enough to fill the gaps and wick and thin enough that it's not compressed and inhibiting the flow of juice.
For your first few, just do the flavor wick until you get a feeling for that sweet spot of volume of cotton and density of twist. After that, experiment with one of your old heads... pull the silica out, dry burn lightly to clean the heads, and pop the new cotton wick in there. If done right, a flavor wick isn't needed at that point, since the cotton absorbs so much juice.
*The rule of thumb I use for doing the main wick is that I roll just tight enough that it will follow smoothly through the coil, without too much gap, nor dragging along the sides. This way, it has room to expand without strangling itself.
be really careful, as you don't ever want to dry burn cotton. Not only will it taste horrible, but it runs the risk of catching fire!
Then, don't look back. You will be using cotton wick from then on.