To get started you need a length of thread. I use waxed linen thread. Sometimes I buy the factory waxed thread and sometimes the raw Linen thread and rub the wax on before stitching. The factory waxed thread is extremely well impregnated with wax. If you keep the awl holes small you can have a waterproof bag since the waxed thread is such a tight fit in the holes and the wax fills the minuscule voids. Saddle stitching starts with a length of thread with a needle on each end. If you were to sew with the thread simply through the eye the needle you would be frustrated quite quickly. One has to create some tension in the stitch and with the thread simply threaded it is going to pull out of the needle as soon as the tension comes on. Threading a needle once is enough bother never mind re-treading every few minutes. The answer is to lock the thread onto the needles.
The needle on the right is what we will end up with. The needle on the left is where we start.
Pass the thread through the eye of the needle.
Pull the loop down the needle and onto the thread. Pull the standing part of the thread though the loop until the thread lies flat like the needle on the right. I usually put my thumb and forefinger on the point where the loop and eye meeting then spin the needle to twist the thread together. I find the wax helps the loop to be more secure and smooths the joint so it slips easily through the awl holes in the leather.
Once you have the thread locked onto the needles all that is needed is to prepare the leather.