The 5 colored fairy's skien is created by constructing 10 fairy dusts(gained through destroying the lvl40 jewelry that you buy from zakandia or by constructing Odd Power to Magic powder and Magic Powder to Fairy Dust) and 20 Strengthened Threads.
Or it can be bought from Tasartia; Fairy's Five Colored Skein refers to the Fairy thread found on page 2 of Tasartia's shop.