It is as simple as using a form or armature over which you roll your wire. Once it's on the armature and wound up you can glue it together or even paint it with an epoxide paint that will give it strength. However, you will have to account for heat production. In some cases you might want to leave the coli on the the winding armature, if you've chosen the \$\mu_r\$ to be ~ =1 this could also be save.
If you are using litz wire you'll probably have to leave it on the armature.
There are companies that sell brackets and clips for this sort of thing. the term you will be looking for and here is a link to a page giving hardware. there are lots of competitors.
No. All inductors don't behave the same way over a range of frequencies. That's why the data sheet specifies the test frequency. Rejoice that it does specify that, some don't and leave you guessing.
The frequency range of an inductor is governed by two things, one is the core material, the other is the winding geometry.
The core material tends to have an upper frequency limit, above which it becomes too lossy to use, the effective permeability often changes as well. This is expressed either as Q, for signal uses, or power dissipation, for power uses. Materials designed for high frequency tend to have lower permeability than those for low frequency, which means that low frequency inductors will be 'better' on other specs, like inductance, and residual resistance.
As the frequency goes up, the self capacitance of the windings can start to turn an inductor into a parallel resonant circuit. The cure for this is to reduce the capcitance by reducing the number of turns, and to use fancy winding techniques that pack less wire into the available space. Again, to make a high frequency capable inductor means sacrificing inductance and series resistance. It is because of the windings issue that even 'air-cored' inductors have frequency limitations.
The specified test frequency will be in the range of 'good' use frequencies. Not necessarily at the top end of the range, it depends what equipment the test house has to hand. For high frequency inductors, the low inductance can mean that Q is very poor at 1kHz, and there is little point measuring at such a low frequency.
Best Answer
If you are in the US and unless they are knock-offs or Micrometals trademark expired recently, you can identify what material it is by the colors, yellow-white. That two tone paint scheme is Micrometals -26 material. Very common and excellent price/performance ratio. It's not high frequency nor very high flux (DC bias) but sits in the middle between which makes it a good choise for your average ~70 kHz output chokes in medium prices products.
Here it is: http://www.micrometals.com/pcparts/pc_l.pdf and http://www.micrometals.com/material/index-26.html
Looking at the datasheet, it starts to drop of at about 100 kHz. If your flux swing is low, you can go higher but there are better materials for very high frequencies.
If you wind a few turns on it and have access to an LCR-meter, it will get you started for an unknown material. Critical parameters such as a loss curve is however quite time consuming to measure yourself but it is doable. The normal design procedure is to refer to the datasheet and make calculations from there.