i need thin insulated wire like this.
it is called enameled magnet wire. try an electronics supply house or a motor and transformer electrical supply house. you can also purchase it online. you could also just take apart an old electric fan or door bell and unwind the magnetic wire. ~the other answerers don't understand wire, enameled magnet wire has a fine enamel insulation that needs to be sanded off in order to make a connection, as the enamel electrically insulates it to prevent an obvious short, but allows the inductive fields to easily pass through. it is used in all motors and most xfmr's.
It is called enamelled copper wire or copper winding wire. You will find it at Digi-key and other electronics retailers. Check OKorder as well. It comes in different gauges (thicknesses), the higher the number, the thinner the wire. I'd say the stuff he uses in the video is about 30 gauge.