Coils are loops in a wire, but when electricity flows through the wire interesting things happen. For example, if there is an iron core in the loops you have an electromagnet (or a solenoid). The coil in an automobile -- working with the condenser -- resonates to build the 12 volts from the battery into thousands of volts for the spark plugs. Working with other components, a coil can smooth out ripples in DC current from a power supply.
Winding by Hand
Winding a coil by hand is a rite of passage for the serious electronics enthusiast. If your coil is more than just a few turns, you will discover two things: It is hard to keep the turns even, and hand winding takes a long time. To do the job quickly and neatly, you should use a core to wind your coil around -- these cores are called mandrels or bobbins. They can be wooden or metal, and they should have a hole drilled in one end to anchor the wire. Fix the mandrel on a workbench so it can be turned with a handle, then feed the wire onto the mandrel from the spool the wire comes on. You should wear gloves and try to maintain consistent pressure while smoothly turning the mandrel.
Using a hand-held drill will speed things up considerably -- you do not need a frame to hold the mandrel, as drill winding is done without a stabilizing framework. Put one end of the mandrel in the chuck of the drill and tighten it down. When using a drill, you will need a metal mandrel because the chuck of a drill will crack a wooden mandrel. Operate the drill with one hand while feeding the wire onto the rotating drill from the spool. With a little practice, you can make nice smooth layers by redirecting the wire at the end of each layer. Wearing gloves for drill winding can be dangerous as it is easy to get your glove caught in the loops.
Using a Winding Jig
A winding jig is a wooden frame that holds the drill with a long mandrel and has a support at the other end of the mandrel so it can rotate freely. You will want to run a cord from both sides of the drill switch down to the floor and make a simple wooden foot-operated switch with a spring that holds the switch open until you step on it. With a stable rotating mandrel (turned on and off with your foot), you have both hands free to feed the wire onto the rotating mandrel. It is safe to wear gloves with a winding jig because it is easy to control the distance between your hands and the mandrel -- it is also easy to keep the tension consistent, so you wind up with a better coil.