Spooled wicks do not have to be primed, however, it can be done if you would prefer. The extra coating (priming) on the pre-tabbed wicks just provides extra rigidity to the wicks so they'll stand up better while pouring and cooling the candles. You just want to make sure you're pulling the wick just tight enough so it doesn't slump as the candles set but not so tight that the wax pulls away from the wick as it cools. However, if you want to add a coating you can use the same wax you are using to make your candles. Melt some of the wax, cut the wick to the length you want, dip the wick into the liquid wax, wipe of the excess by pinching the wick between your fingers (use a paper towel since the wax will be hot), then repeat and lay them flat on a piece of aluminum foil to dry. Once cooled you can add the wick tab. They will burn well without the priming if you would like to skip this. Or you can test with and without the coating to see which you like best.
The easiest way to add the wick tab is by using a pair of needle-nose pliers to crimp the top part. If you try to crimp too low toward the base it will bend the base in half which makes it difficult to work with.
If you will be using spooled wicks for your pillar molds, you may want to check out this tutorial on wicking the pillar molds!