Hi Marilyn,
I probably picked it up at Joann's, in the notions department. The one I like the best is bright yellow (it's visible) and ribbed so it's easy to hold. Some threaders have a small hole on the opposite end to hold needles.
This is not the one I use, but it gives you the idea:
http://www.joann.com/machine-needle-...serter&start=1
Cricket