Aaron has some excellent videos that make it very easy to learn this technique. Check out his YouTube Channel at Trout Predator Online. Links to two weaving videos:
Below are some of my first attempts. These are woven with embroidery floss purchased at Michaels for $1.25 each. The floss comes in a variety of colors (S938 Brown, S729 Gold and S3820 Yellow/Gold). Wind these on to a couple of thread spools and weave with a bobbin. Vary the size of the weave by using less strands (the first couple where tied with the full 6 strands and the smaller ones where tied with 4 strands).
Here are a couple weaved with brassie wire.