Sorry about the low picture quality. This is something I did a while ago and took apart to make an Instructable, my first one. Enjoy!
Step 1: Supplies
Step 2: Start the wrap
Then take the long end and start wrapping it around the lighter. On the first wrap, make sure you the cord is wrapped over itself, that keeps it from undoing itself. Keep going all the way to the top, keeping the wraps tight and close together.