You can do this in a couple of ways, depending upon what you want your end result to be. Regardless if it's a single (multibody) part or an assembly (with two separate parts), you will use the coil feature. Here are two screenshots showing how to do it as a single part, but with two distinct bodies, so you can assign different visual treatments to the resulting features. Note, you're not assigning materials, per se, you are merely telling Inventor how to display the surfaces.
First screenshot shows how to setup the sketches - it's actually two sketches. The first sketch is the inner string - I chose a .010" extruded circle - then extruded it 1". The second sketch is the winding string. I set the outer finished dimension of the wound string at .036", which happens to be the A-string on my custom light gauge 10-46 set. Note that the .013" diameter of the winding string is a reference dimension; you need that value when you set the pitch pitch of the coil, and it is parameter d4. So, the coil is formed by the circle profile, coiling about the string axis, at a pitch = d4, and to a coil height of 1". I circled the key selection to make the coil a separate body, instead of combining it with the original extrusion.
Now, when you follow these instructions exactly, the coil will fail, and you'll get an error that the coil is self-intersecting. Technically, it shouldn't fail, because the coils are wrapping dead-on next to each other. But, it will probably fail, and the way to get it to work is to make the coil pitch ever-so-slightly larger than the winding string's diameter, so (what you don't see in the final result, second screen shot) I made the pitch height d4 + 0001. The successful result is two bodies that you can change properties on. I made the inner wire display as polished steel, and the outer wire display as brass. I did this in 2022, but your workflow will be similar in 2020. IFF you really need to make the material accurate, in terms of physical properties, then you do need to make two separate parts, and assign material in the physical properties.
Along with the links already posted, this should help you.

