This is how I made my new cotton wick with cheesecloth!
When I opened the cheesecloth package and unwrapped, it was doubled. Start out by cutting a piece (doubled) about 10cm or 12cm by about 10cm (I edited this size from my original post because 16cm was too long and made the wick too thick).
When using the cheesecloth, it is a little delicate and can become unraveled. Using my mouth, I moistened one end of it so that I could get it started to roll it. Once you've rolled the cheesecloth into a tube shape, use your thumb and forefinger to roll it tighter. I would not suggest wetting the entire piece to roll it (I did that in the beginning and got a wick that was too thick). You want to be able to put this wick in the spike while it is dry so that it will then expand once it is wet with eliquid.
Once it is rolled tight enough to fit into the spike, you want to put it into the spike. Sometimes I will use a straight pin to help get it into the spike.
Once it is in the spike, you want to cut both ends of it. The top end so that none of the cheesecloth is above the spike and at the bottom end, about equal with the round metal.
Then, you want to saturate the wick with some eliquid. Put a drop or two on both ends. Then prime your device and start vaping. I have to warn you though that I got a "fabric" taste for about the first 20 or so draws. I spoke with another ecf forum member who boiled his cheesecloth and still got the taste. I'm not sure what you could do to get rid of that taste before you make your wick; so any suggestions would be welcome!