As Sickkboy said, micro coils are probably the easiest way to get to grips with making your own. 1/16 drill bit, 10 wraps of 28ga. all touching (which should meter out at about 1.4ohms or so), roll up a bit of organic cotton and thread it through - easy.
There are numerous videos on youtube as to the exact method and some good tricks and tips.
For me the biggest tips to make wrapping easier were torch (or heat until it's glowing red with a lighter) your kanthal before wrapping. This removes the springiness and makes wrapping easier and helps the coil retain it's shape when you remove it from the drill bit.
Second, when you mount the coil on the device (after checking resistance and making sure you don't have any shorts) fire it up with no wick in it until it glows red, then release the fire button and squeeze the coils together with needle-nose or tweezers. Do this a few times until your coil glows evenly from the center out.
This helps remove hotspots and hot legs by making sure all those wraps touch.
Finally and most importantly, if you are making your own coils, you really should have and use a multimeter to check resistance. You should also know your batteries and understand about battery safety. If you are using them on a mechanical, consider getting a 2 cent fuse or a kick for added protection.