Fly-fishers use a tool called Bobbin when they tie their fishing flyes or repair their rods.

I use this with fishing rod tying thread for tying music-wire to control cables in my models. I secure the thread by soaking whole winding with thin or medium CA.

To make these tyings look nice and have maximum strength, each turn of the thread should come next to the previous one and the length of the winding should be 5-10 X diameter of the wire. The wires must be de-greased (acetone) and roughened (120 grit).

It is perfect when you don't like to or can not solder for some reason. Besides, it is more reliable than soft soldering, easier and faster too.