1. Which is the best type of wire to use?

I have used brass and stainless steel.

2. Should the wire be held taught or loose on the wood?

Gradually increase pressure until you get the desired result.

3. Should the the lathe be at high or low speed?

Higher speeds = more friction, more heat.

Just don't wrap the wire all the way around! Hold it against the wood so you
are covering about 1/4 or 1/3 of the cylinder.

Dan