Could be an example of the wrong tool for the job I'm afraid. High-speed as provided by the Proxxon is just what's needed for turning small metal objects, whereas coil winding is a slow process. Running an electronically controlled motor at below design speed risks overheating whilst not producing enough torque to wind the coil. Better to gear the motor down, perhaps with belts and pulleys rather than toothed gears. How practical that is depends on how the Proxxon is built: can you take the end off the headstock and photograph the two-speed gearbox inside?
I've used a mini-lathe (min 150rpm) to wind bobbins, not comfortably because 150rpm is still too fast, making it hard to control. Starting and stopping is particularly tricky, because the lathe controls are designed to set speeds rather than vary them continually, while tension control is awkward.
To wind my metre long single layer Tesla Coil I made a hand-cranked turner out of wood with simple bodged bearings. It worked best as a two man job; while a mate turned the crank I controlled the wire's lay and tension – neither too tight or too loose. I made a mental note in writing that a smaller home-made winder driven by a sewing machine motor and foot controller would do bobbins without too much trouble. However as I only had two RF chokes to wind, I felt it was easier to to do them by hand – probably a mistake!
When I were a lad coil-winders were as rare as rocking horse droppings and expensive. Nowadays they can be bought new at reasonable prices like this £27 manual model on ebay . Can't comment on how good they are because I've never seen one let alone used it. The counter is a valuable feature.
Dave