A multi-layer coil is wound around a bobbin having a center pillar and a small and a large flanges connected to longitudinal ends of the center pillar. A winding space having a trapezoidal cross-section in a plane cut through the center axis of the bobbin is formed outside the center pillar between both flanges. To wind the multi-layer coil in this winding space, a turning position where a layer of the coil moves up to a higher layer is set by a position setter, and the turning position is automatically shifted layer by layer to form a sloped outer surface of the coil. The coil is wound in a shape fitting the trapezoidal winding space without reducing the winding speed. The space factor of the coil in the winding space is improved, making the coil compact in size.