As you've probably figured out already, splicing the hardest, most frustrating, get outa here I'm busy, part of making string from sinew. At the moment, I don't have a good camera...so I can't show you my technique.....but here is a good example:
http://www.youtube.com/watch?v=9o2qhN1qCdg&feature=relatedImagine, if you will,
adding a thin piece of sinew (splice) onto each strand as you're twisting it....sometimes you'll be adding a splice as you twist, sometimes you can twist a few times before you have to add more sinew (to maintain thickness). The end of each new splice will be "hanging in the wind" (which will be trimmed off later). You end up with a shaggy string when you're finished twisting.
Some people do not leave the end of the new splices hanging in the wind...they bend the end over and twist it with the other strand. In my experience, this makes the string lumpy.
Hope this helps.