I don't know if this is the *best* way, but here's how I do it.
Take one end of the wire, and about 2 inches or so from the bottom, bend into a gentle loop shape. Take the end of the loop and twist it back onto the wire above the loop. You should have a basic loop, and the wire won't slip if you twisted it back onto itself properly. Next, take the loop and twist it into a figure "8". Fold the bottom of the "8" over the top of the "8", so that you have 2 smaller loops lying over one another. Next, use the pliers from you multi-tool to round out the loops. The last step isn't absolutley essential, but it helps.
The double loop serves as a basic locking mechanism, so that the loop doesn't open back up as easily when the critter's head is in there. Last step is to pass the end of the wire through the loop, and then set your snare as usual. I normally use nylon twine to make hanging nooses, that way I don't use as much wire per snare; it works well because with a hanging snare, the critter can't reach the twine to chew through. For ground snares I use wire alone.
Hope that was a semi-understandable set of instructions. :~}
