There are a couple of pics in my Steven's Build thread of my spring winding set-up on the lathe. I just use a wooden pinch block in my tool holder to put drag on the wire and wind it around a mandrel. The pitch is controlled by the quick change gearbox. A word of caution if you try it: cut your wire to length before winding so you don't have a lot of extra wire flailing around if something goes wrong. Also, hold the end of the wire with a pair of pliers while standing well off to the side and run the spindle very slowly. Of course safety glasses are mandatory when working with wire.

Tom