I disassembled a mechanical pencil for mine. You could also use an old pen. It just has to be hollow, open at both ends, and the "lasso" end needs to have a relatively small opening.
Thread the lasso by inserting the ends of the string into the narrow opening of the pencil casing, leaving a loop (as pictured). You'll want to leave long ends of extra string hanging out the wider end.
To remove a tick, just loop the lasso around the tick, where it's attached, close to the skin. Then pull the ends of the string tight -- you're tightening the "noose" -- and firmly pull the tick out.
I always trap the removed tick between 2 pieces of tape, to ensure it can't crawl onto someone else, before throwing it away.
If you'd like to see a video of tick removal using the lasso method (I was having enough trouble holding my dog down & holding the tick lasso with two hands to make my own), just search for "tick lasso" on YouTube.
I'd like to credit a commenter named Scott on BoingBoing for giving me this idea when I was having a lot of trouble removing a tick from my dog using tweezers: http://gadgets.boingboing.net/2009/06/23/tick-removers-which.html
Finally, please be sure to consult www.cdc.gov (and your doctor) if you have concerns about tick-borne illness.
If you know of a way to eliminate that feeling of ticks crawling all over you after you have to do this, please share it.