You CAN use thin insulated wire like wire-wrap wire, make 100 turns around a big nail, and it does work - I've done it. it's not the copper or wire that produces magnetism, it's the current that flows through it. Though amount of magnetism such can create is just enough to move a compass needle, or a small amount of fine iron dust. Speaking of compass, a wire, a single wire, no turns - is enough to make compass needle move. Yes, connecting to 9V battery will make it awfully hot....
Use of many turns of magnet wire is more practical for making a useful magnet.
By the way.... if you use THICK wire and make 5 turns, then apply 100A to it, you can create a HUGE flux. Put a lot more, and it's enough to crush cans.