Wax.
Attach one end of the thread to a an old playing card by balling it up in wax and pressing onto the card.
Then, either wedge the card about your person, or stick the card to yourself with double-sided tape.
Wax really is your friend here. It won't stick to your flesh that well, but it really does stick to nails, belts, spectacles really well.
If you want to attach directly to flesh, use band-aid or sticky plaster... it's made for the job
