Don't worry about stripping the wire. When you go to solder the two 42AWG leads to your pickup leads, the solder will melt the insulation. Test with an ohm meter when you're done. If it reads open, melt the joints and keep them hot for a few seconds longer. The insulation will melt.
As to this...
Also, after winding a pickup what would be a good way of getting a ballpark idea on its frequency response?
Honestly, I would just test it with my ears. The physics of it are so complex (coil's capacitance, resonance, etc.), I wouldn't attempt it. But someone else might have equations for you etc.