Ah, now I see what they are getting at. I've done exactly the same thing, but putting both threads through the same eye. You do need a larger eyed needle to allow for the two thicknesses of thread and I always make sure that the spools are going in opposite directions on the top of my machine, so they don't get tangled up. After that, go fairly slowly.
One thread in the needle on left, two on the right.
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