I did the same thing as nicolassa, but with lincoln locks. I've tried making fuzy yarn that looks sort of like what you posted, but failed misserably, and have yet to try again. heres my version though, its a bit diferent then nicolassa's.
(also sorry, thats been posted before too.)
I'm thinking if you have a couple lace weight singles (or even thread....) you would get closer to what your after. And probably if you had a shorter staple of fiber it would be easier to get more fuzzyness. or at least with the way my brain works i think that will work.