seams

Bead string and fishing line works pretty well too.

I would imagine that it's just a matter of cutting the wire coating, glueing the strips onto the figure in the spots you want it, and then painting over them. I don't use wire insuation shavings myself, but I do cut out thin strips of material in a similar manner to make seams, piping, etc. on clothing and that's all I do is glue it on and then paint/seal.