We know it's a bit of a hard one for our little people but threading is a fantastic skill to practise and here's why.
Let me put it as simply as I can - threading beads your child strengthens the small muscles in their hands. By picking them up and rotating them before threading they use different hand movements supporting their fine motor skills. It allows them to improve their visual perceptual skills by looking at the available beads and choosing which one they want to thread next. This is based on their mental image of how they want their creation to look like.
The same goes with threading wool through a hole punched paper plate or a wreath. They have to decide through which hole to thread. They use both hands, one to hold the paper plate and the second one-more dominant to thread the wool through the hole, then they have to turn the plate to pull the wool-hand-eye coordination.
Threading does not only improve fine motor skills but also contributes to learning mathematical concepts such as counting and sequencing. You can try to encourage your child to sequencing beads for example two reds, one blue, two reds, one blue. To help them remember, place a chosen sequence on the table in front of them. While working with the younger children I would put all the other colours away so they don't get distracted by all the other colours.
There are many different types of materials you can use for threading. Most common are beads but pasta, cut up straws, buttons, paper plates/wreaths with holes are all good. For the beginners and the very young ones, instead of using a string or wool I would recommend a pipe cleaner as it is more sturdy therefore easier for them to thread the item on it. That is how we started out with our 19 month old Iona whose concentration and patience surprised us all so much that we decided to keep a small set (a pipe cleaner and big beads) in the nappy bag as entertainment when in restaurants and cafes.