You will need:
two plastic lids
Step 1: Assembly
Put the straw onto your drill bit and cut to the length you want it. The only reason I covered it with duct tape was because the bit ripped a hole in it while I was sliding it on. I am using a 5/16 bit, and a McDonalds drink straw. Alternatively you can put a knitting needle in the chuck, or a dowel instead of using a drill bit, but if you skip the straw to cover the bit you will have a hard time getting the yarn off the bit.
Slide one lid to the base of the bit, then pull a little yarn through the other lid and put it near the top.