If you are using prewaxed thread, rub it vigorously between two layers of plain brown paper. It will melt the wax, and send it deeper into the thread, while at the same time remove the excess wax from the thread.
You can dye your own thread (white unwaxed linen thread), and dye it any color you like. When it's dry, simply rub it on a cake of beeswax, and then use the method I described with the brown paper. You can use fabric dyes, or leather dyes. Or you can simply click on this link , and order prewaxed linen thread in many colors and weights. You can order a sample card that will show you every color they sell, and you can see how thick all the different weights are. Hope this helps.