A device for winding a filament around a structure disposed concentrically around a distal end of a balloon catheter includes a rotatable holder for retaining a distal end of the balloon catheter, a translatable winding carriage for helically winding the tensioned filament around the balloon catheter distal end, a heater for applying a predetermined amount of heat to a section of the balloon catheter having the filament wound therearound, and a controller for controlling at least the rate of rotation of the holder, the tensioning force applied to the filaments the amount of heat applied by the heater, and the rate of travel of the translatable winding carriage along the longitudinal dimension of the balloon catheter. By use of the device, the balloon is heat set and a predetermined checkering pattern of surface indentations are provided in the structure exterior surface in a single pass.