I used a piece of cotton cord for my wick. Other suitable wick options include cotton yarn, a thin strip of cotton fabric, a strand from a clean cotton mop head, or a commercially available wick from a hobby or craft store.
I tied a small washer to one end of the wick for weight. The other end was tied to a pencil so that the wick hung in the center of my Man-dle jar.
Basically, you want your wick long enough to reach the bottom without being so sloppy that it makes a mess when things start heating up. Yeah....ahem.