App note from Coilcraft on the design and construction of common mode filter inductor. Link here (PDF)
Noise limits set by regulatory agencies make solutions to common mode EMI a necessary consideration in the manufacture and use of electronic equipment. Common mode filters are generally relied upon to suppress line conducted common mode interference. When properly designed, these filters successfully and reliably reduce common mode noise. However, successful design of common mode filters requires foresight into the nonideal character of filter components — the inductor in particular. It is the aim of this paper to provide filter designers the knowledge required to identify those characteristics critical to desired filter performance.