I used to make these all the time, years ago before TVs had automatic degaussers.
An article on how to make one is here:http://www.oscarcontrols.com/degauss/index.shtml
It takes lots and lots and lots of wire, but it can be small gauge and not very expensive. To make these quickly I used to use a wire & cable coiling machine with a hand crank and an expandable basket that I could set to any diameter I wished (up to about 15" or so). I'd set it for about 8" and start cranking, unspooling magnet wire from a regular industrial spool. When the "bundle" got to be 3/8" to 1/2" in diameter (hundreds of turns), I'd stop, connect an AC cord with an in-line switch, and wrap the whole thing with overlapping layers of electrical tape.