Although my machine has a threader, it doesn't thread the finer needles (usually 70/10) I like to use for machine appliqué. I bought this - which actually works!
http://www.ebay.com/itm/NEEDLE-THREA...item4d04559e5c
It took me a little while to figure it out (no instructions, lol), but it's worked every time. I took it to class on Saturday - the teacher had never seen one before.
You lay the thread across the gap, keeping tension, slide it down the front of your needle and a little pin pops out pushing the thread through the eye of the needle. I think it works on the same principle as the built-in ones.
I've also seen Dritz ones on eBay, but we don't really get Dritz here, so don't know if they're the same.