I have been using the self-threading needles to bury thread - the ones with the open notch on the end, so you just kind of force your thread into the notch. But I just got (and haven't yet used) this tool at JoAnn's - the new Clover thread pic.
http://www.joann.com/search/_clover_thread_pic/ It will be helpful not only in burying threads (without threading a needle) but also in snagging and moving any dark threads that show up inside the quilt after it's been quilted. I think it will be a great tool to have. It's basically a very fine crochet hook with a comfortable handle.