The video put out by tightlinevideo on youtube has the guy disassembling a plunger-style hackle pliars, and drilling it out to use as a tool for the yarn. He also mentioned using pens and caps from Sharpie markers.
I tried using the Sharpie markers, and had a really hard time with it.
I ended up using a straw from McDonald's, and cut that into thirds. I then made a cut up the straw, about a half-inch, maybe 5/8". Using my fingers, I rolled one of the cut sides under the other, and kept rolling/squeezing until I got a nice funnel shape. Then I just used some Scotch tape to secure it. Pulled the yarn through that and started using it. It works pretty darn good, and cost me $0.00.