If you are new to cross-stitch and needlework in general, try this simple and handy tip if you often have a trouble holding the needle threaded, or the thread falls out of your needle. This issue usually happens when you are using a tiny thread ply, maybe one Anchor or DMC strand. Refer to the diagram as you attempt this tip.
STEP 1: Take the end of the thread and fold the thread in half, around 2 inches. This will provide you with a full thread length and a tail of 3 inches.
STEP 2: Take and put the folded tip (A) through the eye of the needle.
STEP 3: Pull the tip (B) to wrap the needle around the end.
STEP 4 (LAST!): Pull the ends of the thread (C) now until taut on the needle.
You can now sew the thread and not lose it.
This tip can be achieved only with a thin thread of ply. If the ply was too soft, the knot at the needle-eye would be too soft to fit through the cloth.