After a couple of "sessions", it barely feels like anything - you get used to it, and it doesnt hurt.
Simply take a 50 cm length of thread - they say 100% cotton is best - and tie the two ends together. Place each hand inside the circular loop of thread so that you are holding it open. Then twist the thread, about 10-15 times so that the twisted over section is in the centre of the space between the hands and you have two triangles almost on either side of the twisted section. Now push the twisted section along the string so that it is nearer one hand. When you do this, the triangle will get smaller towards that hand and bigger towards the other hand. Hence, the hand nearer the smaller triangle will close in, while the hand near the bigger triangle will open up. Open and close the hands in mid-air simultaneously, and you will notice that the twisted over section of the string will move along from one hand to the other. Once you have played around with getting the hand actions smooth, try it on an area of your skin. Probably easiest to work on your leg to begin with, but make sure that the thread is placed on the skins surface and that the hands dont move around - that they just open and close in the same place. As the twisted section moves from one hand to the other, the hairs in the "line" it forms will be trapped within it and pulled out as it moves across.
Apologies, my explanation isn't too clear but if you are interested and try to follow it through, it should hopefully make sense and you will see how it works. I like to thread my upper lip especially, i couldnt stand to use a tweezer in that area, dislike depilatory creams, and wax doesnt seem to work!