Briony from Crafty Cats Corner was close in guessing frills and lace. The mystery object is for making hairpin lace. The wool is wound around and crochet stitches hold it together in the middle.
It's quite easy but I wondered what on earth do you do with a length of frilly wool. Then I turned to Youtube and a whole new craft world opened up. Here is my humble sample.
The lady on this video has her own website which includes crochet and knitting too. Amazing.