In this poem, the speaker is talking about why he will never again leave England. At first, it seems to be a patriotic poem. However, we find by the end that it is a poem about his love for a woman named Lucy who has died while the speaker was away. He does not want to leave England again because it is where she lived.
The line you cite refers to something that women had to do in the old days -- spin thread. Up until at least the early 1800s, most people made their own clothes and actually made the cloth as well. The first step was to take wool or cotton or some other fiber and spin it into thread. This was done with the use of a spinning wheel. The poet is describing Lucy spending time using her spinning wheel to make cloth. It is just a metaphorical way to say that England is where she spent her life.