Rip a 6" length of Painters tape or some other tape of equal size. (Painters Tape worked fine for me.)
Cut a 3" by 2" piece of foam out of a Air Return Filter.
Wrap the foam around your filament long way around, and wrap the tape around the foam making sure to make it tight but not too tight that the filament will get stuck.
Just position the foam so it is at the entrance to the cold end of your extruder and that's it.