You can wind by hand, but if you have a lot to wind that can be a pain. I bought a ball winder/swift combo at WEBS (www.yarn.com
) and you can get the same thing at JoAnn's website (often with coupons). You can also get some nice handmade ones on Etsy or some other sites I can't think of right now.
They're especially helpful if you're winding very thin laceweight or something off of a large hank! If you don't buy yarn in hanks very often though, it might not be worth the investment.