go to a carquest auto parts store they have a rack dedicated to all kinds of springs. but to directly answer your question, you need spring steel to make a spring. and to solder to it, make sure you use a good flux and plenty of heat.
I second piano wire and auto part springs.
BUT If you get ready made springs you will usually find they are plated or galvanized, you need to take a file to them to get down to bare metal or the solder will not take. I purchased a box of various springs for about £3 from ebay I have been able to make loads of battery housings and springs are useful for all kinds of applications.
Edit.... pici of springs soldered to brass strip for my "pocket white" you can maybe see that they do not taper down but that doesn't matter