The NAFAA requires a "hard limiting" method for attachment. In the strictest sense, this could be interpreted as:
Make a loop in the metal where you want the wick to be
Weld or twist the metal together
wrap wick around the loop
Insert a screw/bolt through the wick, through the loop, and out the back
Affix the bolt so there's no chance of accidental removal.
Done.

The bolt limits every layer of kevlar preventing a chinese yoyo from happening and has a metal-to-metal restraint keeping the wick on the fan. naturally, your construction methods may differ greatly. This method assumes you're putting it together with armature wire or something.

Tedward has a cool idea... my fans I've sewn wick onto. Probably not as secure as this other idea but pretty secure since im not throwing them around or anything yet.
I take aluminum tape and stick it on the end of the kevlar and stick to the metal, then wrap the kevlar around, every time it makes a complete circle, i sew with kevlar thread, the layers together, continuing to sew all layer together as the wick builds up.
So far they've been nothing but really solid, especially since once you light them the kevlar seems to shrink onto the metal. However the sewing methods is EXTRAORDINARILY time consuming, 12 wicks took me all day (and then some).
So, go with whatever seems easiest to you to do. Also, make sure to choose a length of wick and cut every one accordingly, I used 11" length on my first fans and they are HUGE. Way too big and always burn me when I use them, the second pair had 8" and are a lot more reasonable.