I enjoy making these awls as gifts, not just for woodturners but anyone with a tool box. I use music wire by K&S Engineering available from true hobby shops not hardware stores or home development centers. Also available from Amazon. Birdcage awls have the 1" point sharpened on 4 sides on a belt sander so the 4 sharp edges can easily cut a hole when pushed into wood and twisted.
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I did a YouTube videos on making these a while back https://www.youtube.com/watch?v=xlAlUhTWyTM