Making fire straws can take a bit of time, but I feel that they're well worth it.
I use drinking straws from McDonalds or various gas stations, since they're wider than the straws you buy at the store (plus, they're free!:thumbup

. I cut the straws into approximately two inch lengths. I snag the cotton balls from my wife (I don't know what she uses them for, but I think every woman comes equipped with a giant bag of cotton balls). I rip the cotton balls roughly in half. One cotton ball works for two straws.
To assemble, I roll a half cotton ball in some petroleum jelly, and then stick one end roughly into the straw section. I then use a thin pencil, dowel, stick, etc, to shove the cotton down into the straw. I then use some needle nosed pliers to pinch shut one end, leaving about an eight of an inch extending past the sides of the pliers. Apply heat from a Bic lighter, and the ends pretty much seal themselves. Repeat process on the other end.
A tip: try to wipe any excess PJ from the ends of the straws before you melt them shut. Not a big deal, but makes the melted ends neater.
I've timed my fire straws, and normally get a 4-5 minute burn time from each one!
Hope this helps. Feel free to PM me with any questions!
-Parke1