I know what self threading needles are but how do they help to "bury a thread". Maybe I should ask what is meant by burying a thread?

You run the needle through the batting only, not the back, and come up about an inch away from where you went in. You pull it a bit taut and cut it where it came out. It will release back and disappear into the quilt.

This is great when machine quilting as you don't have those bumps you sometimes get when you stop and start quilting (if it's in the middle of the quilt).
When you're done with a particular area, you bring the bobbin thread up to the top, and then leave a longer tail on both threads before you cut.

Some people bury right away. I prefer to come back and do a bunch at a time. Depending on the quilting pattern, it could be when the whole quilt it finished.

And that's why these needles are so handy. You don't have to spend a lot of time trying to get both threads through the needle. You can just pop them in the self threaded needles and bury them. Then on to the next one. ;-)

I just went to a craft fair and was looking at buying some of the spiral eye needles until I saw the price $28 australian dollars for a pack of 3 or 4...eek!

They are diff sold at the Joann store.

okay, here is my dumb question. If I machine quilt why would I bury the threads? I have a stop button my machine which I use. When I hand quilt, I do bury those threads.

Not a dumb question.
I don't particularly care for how that looks. Whether I use the stop button, or take really small stitches.
Especially if there is a huge contrast between the thread and fabric.

Could be the way my machine sews.
But I do it for all the threads in the center. If the stitch line is going off the edge, obviously, I don't bother.

Personal preference. ;-)