Plying on a spindle is easy! In fact, there are many ways to do it: Andean plying, multiple spindles, center-pull ball, etc. I’ve tried them all and find that I make my best yarn when I transfer the yarn from my spindle to a storage device before plying. Small balls and clay flowerpots work well; the balls hold the yarn and the pots hold the ball. It is a trick Rita Buchanan taught at Spin.Off Autumn Retreat (SOAR) one year. You can also use weaving bobbins and a lazy kate to hold your singles, just as you would for plying on a wheel.
To transfer the yarn from my spindle, I use a shoe box with a hole punched in the side as a spindle holder. The box keeps my spindle steady so I have both hands for winding.