The invention relates to a winding machine for winding a plurality of yarns into a bobbin, and a method for primary feeding and spindle exchanging a yarn beam in such a winding machine. To this end, the winding machine comprises two winding spindles born in an overhanging manner on a movable spindle seat, and alternately guides each winding spindles in a winding region and an exchanging region. An auxiliary device is provided for guiding each yarn during the primary feeding at beginning of the process and deflecting each yarn when spindle exchanging in the process, which is commonly used witha suction device during the primary feeding. For obtaining a flexible yarn guidance with minimum device expense, according to the invention, an auxiliary device is composed of a guidance holding strip and a plurality of yarn carriers spacingly disposed in parallel along the direction of the guidance holding strip, wherein each yarn carrier is movably fixed in parallel with the guidance holding strip extending along winding spindles, and is capable of being disposed at a plurality of positions.