IMO the best is to get unwaxed linen thread and wax as you need too - much better and cheaper. Here's a link to two types, Barbour's and one from Yugoslavia for half the price. I can recommend the Barbour's for sure since I've used it for 40+ years, but reports back from those whose opinion I trust on the matter have tried the Yugoslavian and liked it enough to recommend it so next time I buy thread.....For general use I'd recommend the 5 strand/cord with a single 'O' size harness needle.
http://campbell-bosworth.com/catalog/advanced_search_result.php?keywords=linen
For wax - Use beeswax, which is available from most leather suppliers or you can buy in bulk from several on-line dealers and/or local suppliers. Personally I like to use a mix of beeswax and pine pitch to produce a harder wax like shoemakers traditionally use. I melt beeswax with pitch (one source is
http://jas-townsend.com/product_info.php?products_id=373 ) at a ratio of approximately 60/40 - use 6 parts beeswax to 4 parts pitch - 1 1/3 cups wax with 2/3 cups pitch is a good start. I use an old slow cooker to melt mine - the fumes can ignite so it's best to use no open flame. A double boiler will work too. You need to keep the heat low enough so that you just melt the two without the mixture smoking.
Once melted you can pour off into a large, deep bowl of cold water - knead it into smaller usable "balls" while in teh water and still warm, wipe dry, and then set aside to harden.
The pitch adds stickiness plus anti-fungal/bacterial properties.
To wax your thread draw the single thread through the wax until coated with wax - not overdone, but enough to coat all strands. Then burnish the thread - use a piece of soft scrap leather and pull the thread through it several times or hang it from a hook and burnish with a piece of brown paper bag. The idea is to generate friction to create enough heat to drive/melt the wax mix into the threads core. Check after burnishing and if need be, re-wax and re-burnish.
Commercially waxed threads have always been way too over waxed for me, plus in the long run the cost factor for the waxed thread is 4-5 times more expensive than unwaxed and waxing it yourself. But others mileage WILL vary.......