If you are going to use yarn, you want to look for weight 4, medium yarn. You also want to make sure it is 100% cotton (no synthetics at all!), and preferably non dyed. The Sugar'n Cream 100% cotton yarns are great, and fit the bill nicely. Something I noticed right off the bat comparing the Sugar'n Cream yarn to other cotton yarns at a local craft store was that every other brand seemed to smell. It wasn't a foul odor per se, but certainly not something you want to taste every time you puff your ecig... The Sugar'n Cream yarn had a very neutral smell, virtually no odor at all. That seemed like an important factor in my opinion, as you don't want the wick to alter the flavor of your juice. Now, all that said, I ultimately went with #1/0 square braid cotton candle wick. It seemed closer to the actual size of the silica braid used in the wicks that were used during manufacture. I simply used 4 strands, wrapped 5 tight coils of kanthal wire around the middle, and rebuilt the atty using methods readily available on YouTube. Like others have said, do not try to dry burn a cotton wick, it will burn up on you. The cotton yarn and kanthal wire are so cheap, there is no reason to not wrap a new one every time you get gunked up. You'll get a fresh flavor every time! Just make a few extra pre-assembled wick/coil assemblies and you'll always have a few spares handy when you need to change one out.
One suggestion I would make, if you're going to start wrapping your own coils, you may want to invest in a VV PV. We're only human, and there is no way we're going to hand wrap a coil that is exactly the same every time. Each one of our hand wrapped wick/coil assemblies is going to have a different resistance. With a VV mod you will be able to compensate for the inconsistencies in your hand wrapped coil resistance values in ohms. You'll want a multimeter handy (Or a PV with a built in ohm meter, although these usually aren't as accurate as a true multimeter) to measure the resistance of your newly assembled coil. Then simply use Ohm's/Joules law to find the voltage you want to vape the new coil at. I have found I like to vape my clearo's at around 6.5W of power...
So... If I were to make a hand wrapped wick/coil that had a value of 2.34 Ohm's, and I know I like to vape at 6.5W, using some simple math I know I want to set my voltage to 3.9. I use a simple calculator found at ohmslawcalculator.com to do the math for me
Or, just get a mod with adjustable wattage, set it at what you like, and it uses its built in ohm meter to find the right voltage based on the power (Watts) you set. I'm not that high tech just yet

I haven't been vaping long enough to justify that cost, though the Vamo is pretty reasonably priced.
Just stuff to consider if you're going to be making your own wick/coil assemblies by hand

Good luck!