OK,I'll try to explain it if I can.
I start with a thread half the thickness that I will need for my finished work. The stuff I usually use is a barely twisted linen yarn which has just six strands.
I cut a piece twice the length I need and I wax it up with a lump of beeswax. Because it is half weight I can then use a much finer needle than a full weight thread.
I thread two needles onto the ends of the thread and then tie those ends together with a fisherman's knot. This gives me a loop with both needles on it.
Now I take the knot and fold it to the opposite side of the loop and pinch these point together. Draw the needles to the other ends of the two loops now formed.
Give the thread a quick twist and I now have a 12 strand thread with tiny needles at each end.
The advantages as far as I can see are no great thickness just behind the needles and just a very small knot in the middle which is easily lost between the leather.
I also don't have to worry about the thread slipping off the needles unless it actually breaks, which is a very rare occurrence.
I hope that makes sense, it's much easier to demonstrate than explain.