Threading a leather needle can be a little tricky when you do it the first couple times, but it gets easier every time. This was one of the most confusing things for me when I started working with leather - I'd never threaded a needle this way for any of my other sewing! Because there are no knots and you're sometimes applying a ton of force to get the needle through the leather, you need to make sure the thread locks in place properly.
My first couple attempts at threading the leather needle were absolutely terrible. I just couldn't get the thread to lock in place! Doing it the way I show in this instructable works perfectly for me, and I hope it does for you guys too.
Check out my other leather ibles for more leatherworking basics:
Step 2: Thread the Eye of the Needle
Cut a length of thread. I normally do about half the length of my arm.
Squish the end of the thread between your fingers so it'll fit through the eye of the needle. Pass at least an inch of thread through the eye.
Step 3: Pass the Needle Through the Thread
Bring the longer piece of thread up to the end of the needle and twist it open.
Push the needle between the strands of thread.
Step 4: Locking the Thread
Bring the thread that you pierced down the needle and over the eye until it's wrapped around thread. Pull this nice and taut - you'll want to play with pulling both ends of the thread to make it work properly.
Once it's in the right place, your thread should look like the second photo.
Step 5: Twist and Repeat!
Once the end of the thread is locked in place, twist it with the working thread. This will make it stronger (and lessen the chances it'll come apart!) and help it pass through holes a little easier. :D
If you'll be sewing a saddle stitch, repeat it on the other end of the thread.