I don't sew with Fil au chinois, but I do use round linen thread in 0.6 mm; First I run the ends of the thread in beeswax to give it a bit more firmness, then I pierce it with my needle about 5 cm of the end, then maybe 1,5cm further a second time, I put the end of the thread through the eye of the needle, pull it until the first pierced area get in the eye, and then pull the rest of the thread down. If it doesn't hold good I rub it a second time with beeswax and here you go, ready to sew.
Hope this helps.