Wool is made into yarn by twisting it: as it twists, the little fibres in the wool grab onto each other and hold on for dear life, making the yarn nice and strong. The trick to making yarn, then, is to find a way to keep it twisting while you feed in fibres a bit at a time.
With a spinning wheel, which you've probably seen at some time, the wheel itself keeps turning around, keeping the twist coming into the strand of yarn, and also winding the yarn onto a bobbin.
The older method - ancient, in fact - is a drop spindle. A drop spindle is a stick with a weight of some kind, sort of like a spinning top with a really long stem. The item on the right of this picture that vaguely resembles a mushroom cap on top of a long pencil is a drop spindle.
To spin with this, you wind some fibre around the long stem, pass it up over the 'mushroom cap' and under the hook that is centered on the spindle, then start the top spinning. This twists the loose fibre that is held between your hands and the top of the spindle, which gradually becomes yarn as it twists. Once you have a decent length of yarn spun up, you stop the spindle from spinning around, wind the yarn around the stem of the spindle, and start again.
Women have used tools like this to prepare fibre since before Bible times. When you use a drop spindle, you develop an entirely new appreciation for the generations of women who spun fibre in this way, then wove fabric from their yarn and sewed that fabric into garments to clothe their families. It is no wonder that most people made do with just one or two robes - it would have taken weeks of effort to create a single garment!
You can get lots of information about hand spinning (on drop spindles and wheels) here, including videos you can watch.
If you would like to try it out, you can find 'beginner spinning kits' with simple drop spindles and samples of fibre on ebay, or at your local fibre shop (any place that sells spinning wheels will carry these as well).