Stewart MacDonald sells a book called "Basic Pickup Winding", which seems a good starting place. They also sell a pickup winder, pickup coil wire, and they have a free pamphlet called "How to Wind Pickups."
Personally, I would never bother with this, as there are people out there who know a lot more about it than I want to know, but if you want to do it, spend the money to get a book, which is probably much more in depth than a website will be.
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