Pictures, as promised.
That's how small the #0000 steel wool is. Here's a whole pad of it
There are easy and hard ways to hold the steel wool. If you hold it in your hands, light one end and spin it - but don't hold on too long! You can straighten a metal coathanger and fold the end over to make a hook. I use a carabiner.
It's just snagged in the gate of the clip.
You need at least a short section of something fireproof. A few inches of chain and then whatever string is convenient works fine.
Wal Mart's packaging.
Short video, not of spinning it, just the wool burning.