Here's a previous thread by Stickbender on how-to:
Like Zach said, the Cherokees, would use milk thistle fluff. They would gather them, and when dry, they would wind them on the dart shafts. They would cut a notch in the back of the dart, to attach the string, when they reached it. They would start a few inches down from the non pointed end of the dart, and make a few wraps around the dart. They used a method of laying the thistle out in their hands, and rolling, applying the thistle fluff, and wrapping the string at the same time, and when they reached the end, they would tug the string into the notch, or slit, and cut the string off. Takes a little practice, but the result is pretty neat. Then they would put the dart in the blow gun and trim off the excess fluff. The result was a very neat dart. It looked sort of like a Pussy Willow bulb on the end of a stick