The Peruvian wind-on is a way to keep newly spun or newly plied yarn under tension as you wind it onto your spindle. It's also a great way to reach a spindle that has spun a length longer than an arm's reach.
It's also called the Peruvian Butterfly (as it looks a bit like a butterfly) and sometimes called Peruvian Plying (why, I don't know -- as it's not plying!)
To make a Peruvian Butterfly, once your yarn or ply has enough twist, start winding the new yarn in a figure-eight around the thumb and pinky finger of your left hand, bringing the spindle closer as you wind. Once you can reach the spindle with your right hand, take it in that hand and wind the yarn onto the shaft, unwinding it from your left hand as you go. Maintain a light tension between the spindle and the Butterfly, so that the yarn is wound "under control" to make a tidy cop on the spindle shaft.
I will use the Butterfly to reach a spindle even while it is still spinning, so I can stop it and wind on.
Lefties, feel free to wind the butterfly on your right hand as you hold your spindle in the left (grin!)
The drawing is © Copyright The Bellwether, from Spindling: The Basics, used with permission.
Now, to be quite honest, I don't get asked this question a whole lot -- but it is one of the first things I show to new spindlers, so they can wind their new yarn on without alot of frustration and tangling.