If you don't have a tree to prune of your own you could go foraging in the woods for the perfect branch or you could watch around your neighborhood. Chances are in the fall someone will be pruning a tree. Especially oak trees. Ask if you can have a couple of branches. My guess is they would not mind at all!
I happen to have a massive oak tree in my front yard that needed pruning so I sent my husband up on the ladder to get it done and save some good branches in the process! You will want a sturdy branch with a 'V' shape in it. If the branch is flimsy it will get increasingly smaller when you try and wind it with yarn so make sure it's strong.
Choose the branch you want and trim off excess twigs that you don't need or want using pruning sheers or a small hand saw. Use caution when using any trimming tool. They are very sharp and don't care what they cut.....including fingers. If you are doing this project with a child an adult should do the trimming.
Clean branch accordingly if you notice any bird or animal poo. That is not welcome in the finished piece!!