Cut a straw either in half or in 2/3 - 1/3, depending on how much yarn you need. Then, holding the end of the yarn to the mid-section of the straw, begin to wind the yarn in a pattern of "x". That is, wind the yarn going over the top of the straw back to the middle and then around the bottom of the straw.
I wouldn't make it too big, because it will start to get heavy - something you want to avoid because it will eventually stretch your yarn.
Feed the end of the yarn through the straw (I usually thread a needle and feed the end into the straw and then pull it through and begin knitting from it. As you need more yarn fed to the needles just undo another length of yarn from the bobbin.