Use about 2m of heavy duty mains cable. Tape one end and hold it in a vice then slowly turn the other end with a cordless drill until it looks like above
I used tape and tie wraps. Don't be tempted to tie wrap inside as you need the space in there for your cable
Start with the snap on (7 turns - or 7 passes through the middle) then 3 passes through the smaller ferrites
Pay attention to the orientation of this. LINE=Mains input, LOAD=Mains to your equipment
The earth lead spade has to hold both earths (so you will need a large enough crimp to get both wires in and leave enough length on your earth core to reach) which are earthed at the case of the filter
I used hot glue to stick everything down
You may need to experiment with this to find the best place as your mains lead can act as an antenna