Step 1: Buy a spinning wheel
Step 2: Acquire some wool appropriate for spinning yarn
Step 3: Learn to use said spinning wheel
Step 4: Spin. A lot.
Step 5: When you are finished spinning singles, wind your yarn into a cake to be plied with itself
Step 6: Ply your yarn
Step 7: Go to the Home Improvement store for some PVC pipe and T-joints (I don’t know if they’re actually called this). You will need this to build a Niddy-Noddy.
Step 8: Assemble your Niddy-Noddy
Step 9: Wind plied yarn onto your new Niddy-Noddy
Step 10: Tie yarn scraps around your new skein in several places to prevent tangling and take your skein off the Niddy-Noddy. Hooray! You have a skein now!
Step 11: Wash your skein in lukewarm water with wool wash – be sure not to agitate, else your wool will felt
Step 12: Rinse the skein thoroughly (again in lukewarm water and being sure not to agitate), thwack it on a hard surface (this helps to set the twist and is incredibly satisfying to do), and hang to dry
Step 13: Wait an interminably long time for the yarn to dry