Inductor specifications for AM circuits
Well, first thing is units; you are talking about millihenries (mH) and almost certainly you should be talking about microhenries (uH or more properly \$\mu\$H).

Regards making coils, here's a short introduction. It's called "homebrew your own inductors".

Regards the word "wrapped" the only thing that springs immediately to mind is the spiral wrapping used when making planar transformers: -



I don't think you necessarily mean this so a little more context would help. Maybe you can take some photographs of the document you refer to?

Regarding the picture above, you can see that each turn will have capacitance to the next and this can be lumped to one capacitance in parallel with the whole coil (for convenience). This is now a resonant circuit and has a "self-resonant-frequency". This means you should try and avoid this area because it is hard to control. In fact, above the SRF the coil no longer behaves like a coil but a capacitor.

Shielding for AM coils is usually not a big deal except when it comes to superhet receivers and in particularly we are talking the IF stages - these need to be shielded to prevent the whole IF strip oscillating.

Any inductor with a primary and secondary is called a transformer and the two coils need to be wound together (usually small on top of big or by using a centre-tap).