I did a threading course earlier on this year, it has been a very worthwhile investment for me. I spent ages watching people at shows etc, then subjected my dear hubby to me having a go. I hated the idea of having a thread hanging out of my mouth i thought it looked unhygienic and was told there were other ways of doing it. I then went on my course, which ironed out my glitches (i kept getting knotted up) and then like Kim has said it is practice practice practice. Once you have the hang of it practicing on arms and legs you then try pinpointing specific hairs to practice your precision. Ive been doing it for about 6 months now and I am still not super quick but you do get quicker every time you do it. I think the worst area to thread is the top lip. I find this area a nightmare. HTH
Oh and by the way holding the thread in the mouth is soooo much easier than trying to use a figure of 8, i cant get my co-ordination right for this.