I would recommend if at all possible asking your LYS if they have a swift and ball-winder; most yarn shops do. If yes, you should be able to wind it there (or have them wind it) since you bought the yarn from them. If you didn't buy the yarn from them, you might be able to use the setup anyway for a small fee (depending on the shop's policy).

The swift will make the skein less likely to tangle; the ball-winder will make the process less interminable (though you wouldn't want to go really fast with the ball=winder; that can make for pileups and tangles with such fine yarn).