Winding an air core is real easy.
Mount the largest size dowel rod you can in a drill (3/8 or 1/2"). Mark the length the inductor should be on the dowel rod. Pronine will tell you based on the gauge how many layers at that length it'll take (try to make it an even 2 or 3 or 4, not 3.36 or something). Secure the wire to the dowel rod with some tape, hold some tension on the wire from the spool, and slowly spin up the drill. It's real easy to get tight/no-gap windings this way with just a little practice. Layer it back over itself when you get to the marking for the end of the inductor for the next layer. You can tape the windings down in between layers if you want to help hold them, I use some special HV insulating polyethylene tape for mine but packing tape would be fine too. This works better the smaller the wire is (24-32ga is what I have used).
Alternatively, Madisound.com and PartsExpress.com should have something close to .5mH in 20ga and larger wires for low DCR.