I'm using regular 6 stranded embroidery floss. In most cases, this is a good choice because you can separate the single threads and the embroidered hair will look much more like real hair. With thicker threads, it can look more rope-like.

However, you can use thicker threads like woolen knitting yarn, too. But for now, let's stick with the 6 stranded floss to learn the technique first!
 

Tools 

• embroidery needle with a large eye

• small scissors

• fine comb or a blunt needle