I'm using assembled bobbins from mojotone. They're well made, and I'd recommend them. An especially nice thing is that the pole pieces are superglued into the fiber-work, so the bobbin is rigid enough that you don't need to worry about lacquering the bobbin, except to prevent rust, if you want. I wound directly onto the neck pole-pieces, but wrapped a single layer of polyimide tape around the bridge bobbin before winding to insulate the pole pieces.
I used Solderable Polyurethane (Electrisola P155, NEMA MW 79-C) wire from Remington Industries. 43 AWG for the neck, 42 for the bridge; roughly 7800 winds each. Here are some additional thoughts about wire: viewtopic.php?f=192&t=34040
I originally intended to wind by time, using the constant rate of the turntable to put a certain number of winds on the coil per minute; you know, 33 or 45. At 45 rpm, it would take 2 hrs, 52 minutes, and 48 seconds. At 33 rpm, 3 hrs, 56 minutes, and 22 seconds. I found it difficult to keep the wire unspooling properly, without it forming kinks, or breaking, so I abandoned the timing method and turned the platter by hand, counting each full rotation. I moved my left hand back and forth spinning the platter and the spool (to let out more wire), guiding with my right hand. I counted to a hundred 78 times for each pickup. I tallied hundred counts on paper to keep track. I can wind at about 2000 winds per hour this way. Impractical commercially, but good enough for two pickups.
I've seen people on forums suggest setting the spool on the ground and letting the wire unspool from around the top, but I found that this twists the wire and causes kinks. I put the spool on a paint roller, but it was still too heavy to turn freely just by pulling on the wire, so I turned the spool by hand to let off wire a little at a time.
I found that it's easier to keep the wire feeding nicely if you dangle something on it to keep some tension. In my third picture you can see what I used, a little crumpled piece of paper.
I used two 3"x1/2"x1/2" N42 Neodymium magnets from CMS magnetics set attracting each other in a small vise to magnetize the pickup pole pieces. The vise allows me to pull one magnet away from the bobbin and the other magnet without changing the direction of the magnetic field.
