I'm not sure how the old wives' tale about 'brittle CD disks' came about -- or why it continues to be perpetuated.  In fact CDs, being acrylic plastic-metal foil laminate, are tough as nails.  Try to snap one in half -- sure, you can get it into two pieces after repeatedly bending it until it fails.  Point is, they are sturdy.

For a nine-section form draw a 40-degree angle on some paper.  Center the CD on the apex (shiny side up works best) and trace the cut-lines with a sharp scribing tool or knife blade.  Continue to mark off 40-degree lines, first to one side, then to the other, working your way around the disk.  How close that last pie section is to 40 degrees depends on how carefully you marked off the other cut lines.  If it's off a little bit, no big deal -- this won't show in the final coil.

Now, hacksaw the CD into nine 40-degree pie sections.  Some points:  Use a fine '24 tooth' or finer blade.  Hold the disk so the cut line rests at the edge of a block of scrap wood -- this makes a useful guide for a straight cut.  Patience is the keyword here -- the plastic heats up at the cut point and will tend to 'grab' the blade -- back off for a few seconds, then continue cutting.  The last cut is toughest -- very little disk left to hold onto.

Sand all the cut edges to remove plastic and foil burrs.

The hub that holds these pie sections (vanes) is a sandwich of two 2-in. dia.  fender washers and a 1/4-in. bolt.  As you can see, I've also stacked 1-1/2-in. washers on either side to 'even out' the bolt's pressure.  I guess this works.

The tips of the pie sections are inserted into the sandwich, up to the raised CD hub ring.  Because the hub ring, originally 11/16-in. radius, is now spaced out to a 1-in. radius, wider (approx. 1/4-in.) gaps fall between the pie sections, making for easy winding.   Using the logo side as a guide, I assemble the pie sections in their original order in case there were irregularities in my saw cuts.  This assembly is the trickiest part -- get all the pie sections inserted without worrying about their spacing around the hub.  Then tighten the bolt so that all pie sections are held in but can be wiggled about.  If one pie section still wants to fall out, place a single layer of tape (masking, cello-) on the inside faces of the big washers.

Once all pie sections are more-or-less equally spaced about the hub, give the bolt a final tightening.  There's your form.  Happy winding !

Once your coil is wound ...

apply, sparingly, a bead of glue along the wire crossover lines in the slots.  Flip the coil over, and do the same for that side.  I say sparingly, because the idea is to not glue the wire to a pie section.   If you don't believe enough glue has been applied to hold the coil together, let it dry and repeat gluing. 

Styrene-based 'coil dope' is a good glue for this -- it's supposedly low loss.  You can make your own by dissloving styrofoam into lacquer thinner (not acetone).  A milliliter or two of lacquer thinner will be more than ample for several coils -- and you will be truly amazed at how much styrofoam must be dissolved in this to give even a thin glue-like consistency.  In standard units, two milliliters will dissolve at least 20 styrofoam peanuts.  I see some peanuts are foamed polyethylene -- I got my doubts whether they will dissolve.  If you're not sure test them out with a drop of lacquer thinner.

After all is glued and dried, the hub is unbolted and pie sections removed.  Formless and self-supporting -- works like a charm.  I used a loop of thread to further secure the very start and end of the winding.