To begin, take your little piece of garden twine and separate the plies. Tease apart your batting/roving into pieces. Now take all of your materials, except for the wire and sewing needle, and roll/scrunch it into a ball. Gently flatten the ball out into a small pancake size shape.
Next, kink your wire to give it a "snagging" property, then gently wrap it, in all different directions, around your materials. Place your two thumbs in the center of the bundle; use your other fingers to gently form a nest shape. Work this motion until you are satisfied with the overall shape. Now is the time to work in some more material, if you so choose.
Thread your needle with any color thread you prefer (I chose creamy white), knot the two ends, then slip knot it to the wire anywhere on the nest. Stitch through the materials, working your way around the nest until you feel it is secure enough to hold its shape. Don't go overboard with this step or you will lose the wispy effect that gives the nest character.