Alden Amos the spinning guru claims to have spun steel wool "in the soap" but I don't know how true that is...
I'd wear work gloves if I attempted it. And use a spinning implement I didn't care about. One of those huge boat anchor spindles, maybe.
I started spinning with cat fur, then pill bottle cotton and unrolled cotton balls. I'm up to easter egg grass, mulberry bark, and strips of paper and fabric. Prepping the bark is taking forever tho. I do spin with nice boring wool, cotton and silk, too, though.
Who needs a spinning budget?