From Tracy Lambert,
Your Guide to Needlepoint.
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Wrap the thread around the needle, use your fingers to press and make a tight fold.

Slide it off, and place the needle on the thread helping it go through the eye.

-or-

Give the thread a twist, squeeze the thread tightly between your thumb and forefinger and push the thread through the eye of the needle.

*I prefer this method! If you still can't get it to go through, try snipping off a little thread at the end. Just the process of trying to thread a needle can sometimes cause the end of the thread to fray and make it difficult to thread.