The quickest and easiest way to have a go at spinning your own fibre is to use a drop spindle. In this instructable I'll go through the basic method of creating a 2-ply yarn ready for knitting.
There are lots of ways to purchase fibre, and, for this, I have used Corriedale Roving, commercially prepared and dyed. It's tempting to use lovely smooth fibres, like merino and alpaca, but these are very slippery and tend to split a lot easier when you're learning how to spin, so something a bit coarser, and "stickier" is easier to work with.
I started by pulling my fibre apart slightly, to make it less bulky than the original roving. The more you can seperate the fibres at this point, the finer the yarn will be at the end.
Step 1: Spinning Singles
All spindle spun yarns begin with the spinning of a single ply of yarn. Traditionally, the single plies are created using an "S" twist, where the spindle is spun in a clockwise direction.
To start, gently tease out a thin piece of the roving, to about half a fingers width and around 6 inches long. Fold this piece in half, and slide the hook on the end of the spindle into the fold. (Assuming you're right handed) Hold the fibre in your left hand, with the teased out section appearing between your thumb and forefinger. Hold the shaft of the spindle in your right hand, and spin it fast in a clockwise direction (to the right) - let go of the spindle once it is spinning, and focus on the fibre. To begin with, you're trying to create enough yarn to wrap it onto the shaft securely and create a base for the spinning. Once you've got enough twist into the yarn from spinning, and it starts to look more like string, you can stop the spindle, take the yarn of the hook, and wind it onto the shaft - hold on to it tightly while you're doing this! With the end of your spun yarn that is still attached to the fibre, wrap this around the hook, and start to tease more fibre out of the blob in your left hand. This time, with the fibre you've pulled through, try to fan it slightly in your fingers, to keep some air in the fibre - it'll make it softer and nicer in the end. Once again, spin the spindle clockwise, and let the fibre twist. While the spindle is still spinning, try to pull more fibre through your fingers, keeping it fanned out at it's source. This is a practice makes perfect moment - the more you try, the longer the pieces of yarn you'll be able to create will get, which in turn means that your spinning will speed up, as you'll be stopping and starting less often.
Continue drafting (stretching and pulling the fibre through your fingers) and spinning the spindle until all of your fibre has been used up, and is wound onto the spindles shaft.