The fiber comes in a variety of forms, some people start with the fleece right off the sheep - but that takes more time, $$, and equipment than I care to invest at this point, so I buy commercially combed bundles of fiber. Various folkses dye them up and sell them, most frequently as braids:
Then what I do is split the braid lengthwise and spin it down into a single thin thread. The spindle in the pic is full of singles. After that, I ply it back on itself to make a yarn. I can do a two-ply and three-ply! It's vey vey vey relaxing.
When my Granny was getting older, she would have times of nervousness, where she had to be doing something, or she'd drive everyone around her crazy. Mama handled this, when Granny was visiting her, by giving Granny the start of a ball of yarn, and having her keep rolling the yarn onto the ball from a skein. It kept her busy and contented for a couple of hours at a time, giving Mama some free time to do other stuff around the house.