I have started putting each skein of embroidery thread into one of those little ziplock snack bags, punching a hole in the bottom and putting them on a key ring.
Another idea is the Thread Bag on the Karen Kay Buckley website
http://www.karenkaybuckley.com/store.php?cat=12
Each of the clear pockets has a leather strip above it. When you put your spool in the pocket, you thread a needle, push it from inside to outside, and pull the thread off the spool as you need it. You never have to take the spool out of the pocket. If you could wind your embroidery threads on sewing bobbins, you could do the same thing. If you usually use two or three strands, you could separate the strands before you wind them on the bobbins. The large zipper pocket at the bottom will hold your scissors, needles, pens, pins, etc.