I was struggling at making coiled yarn and by happy coincidence Vampy posted a great guide on the UK Spinners’ group: http://www.ravelry.com/discuss/uk-spinners/1220078/1-25#13.
The highlighter pen is not just a random object… To make successful coils you have a core yarn which is suitably strong (I used embroidery thread) and the other single wraps around it. If you do a normal 2-ply, both singles wrap around each other, but here the core yarn doesn’t want to get tangled up with the other single at all.
I tied both the thread and the single to the leader and then let the pen dangle down so as the thread twisted during coil spinning all the twistyness just went down the thread and made the pen spin and just sort of oozed away. When I had used up the thread that was available I just unwound a bit more and locked it under the pen clip to keep it all from unwinding too much.
It took ages to spin the two together and after an entire evening’s work I had a grand total of… about 12 yards – wooohooo!