I guess I'll be the dissenting voice here. I use Fons and Porter's self-threading needles. The ones with a 'V'. I also frequently use Aurifil 50wt thread, which is a thin 2ply thread, for quilting and I have not had any problems with the thread or needles breaking. Here is what I have learned: You must have a fairly decent size thread tail so that you are not pulling down hard on the thread. With a longer piece of thread it is easier to slide the needle onto the thread. Also, I always use the largest size in the pack that helps minimize breakage as well.
I also have a Soft Touch thread pick but I haven't tried it yet. I'm looking forward to trying it out.