Cut a length of thread roughly the length of one arm. Much longer and the thread will start to be unwieldy and twisted.
Thread a medium size needle with the conductive thread. You may need to moisten the thread end to help it stay pointy for threading.
Place your fabric in an embroidery hoop. Beginners will find this helps a TON when learning. For more information on using an embroidery hoop correctly, check out our Cross Stitch tutorial. More advanced folks may wish to stitch directly to a stiff garment.