You will use normal sewing thread to get the job done. The hair will be removed from the root. For an at home method, try this:
Use two feet of sewing thread. Knot the ends to make a large circle.
Hold it in both hands and wind it about ten times until it looks like a bow tie. The wound up portion needs to be in the middle.
Now, spread the fingers of one hand so that the wound portion moves to the other hand. Practice moving it back and forth for a few minutes.
Alternate the fingers that you move, spread and close.
Practice first with your leg hairs until you learn how to do it well.
Prop one leg up while you sit on a chair. Place the wound side of the thread on one side of the hair and lay the thread from the opposite end around both sides of the hair.
Move your fingers as you have been practicing quickly. The hair is captures and pulled from the root.
It is often wise to learn how to do hair threading by watching someone else do it. So, perhaps you should invest in a salon procedure the first time so that you can learn. Yes, it hurts a little and yes it is going to need to be done several times, but the process is one way for you to easily fight back unwanted hair. Once you learn how to do it, you will do it better. And, since there are no real risks of using hair threading there is no reason not to enjoy it.