I posted this over on a local board in response to a question about building a TV antenna... UHF and AM loops are the exact same thing. I did this el cheapo, by the way... cardboard, speaker wire and duct tape. Nothing fancy, but it works like a charm.
Basically, you want to start out by building a square out of cardboard (or wood, plastic, compacted pencil shavings, whatever suits you), and that will be the frame you loop the wire around. One helpful thing to note: the wire doesn't have to be stripped. Doing so doesn't improve performance one iota, so save yourself the trouble. However, you will have to separate the two sides of the speaker wire. It depends on the size of the loop you want (and remember, the bigger the frame, in both length/height and width, the better the performance) as to how much wire to use. To be entirely honest, I haven't been keeping track of the length of wire I've used for each antenna, but the best part about building your own with speaker wire is that you can easily play it by ear and add on as you go. And again, remember, you're splitting the two sides of the speaker wire apart, so you're going to have twice the length of speaker wire than what you cut off the spool. You should have plenty to work with. I do recommend, however, that you fill up the full width of the frame you've built no matter what the length/height. You'll get a much better signal. By the way, a quick hint on connecting lengths of speaker wire to each other: don't twist each lead. Instead, fray each lead, cross them, then twist them all together. That will provide a good, solid connection. And, as usual, duct tape will help ensure they don't detach.
I generally start looping at the then-top of the frame (it might not be when you're done) from the middle of the length of wire. That will give you equal distance on either side, making it much easier to add on if need be. Start with one side of the wire and begin looping it around the frame. As you go along, the wire will move outward toward the edge of the frame with each loop. Make sure the wire is as taught as possible and is touching both the frame and the wire next to it. I make it a habit to duct tape (or otherwise secure) the wire every couple of loops to be on the safe side. Once you've got that side of the wire looped (making sure to leave some length for a lead), start on the other side doing the same thing. When you get to the point that you have a suitable length for a lead on that side, there's the key trick that makes the whole thing work: you have to pull that lead between the frame and the entire loop out to the other side of the frame. Otherwise, the loop won't work. Once you've done that, connect a fairly long length of un-split speaker wire to the leads and plug them into your AM antenna jacks.
As with any other AM antenna, if it sounds like the radio is overloading, just flip the leads into the back.