I use a 14 gauge blunt syringe needle to wrap micro coils on.
I do anneal the 30 gauge kanthal before I wrap which takes out some of the springiness and make wrapping a little easier.
TRICK: Leave the needle in the coil until AFTER you lock the legs down. REALLY helps in keeping the coil straight and prevents pulling it too far down into the hole.
I anneal as well, heating with a lighter until glowing. I also tend to always leave my "mold" on the coil until just before wicking.
Birds of a feather, huh?