I've been using beeswax that's in the "beading" dept of most craft stores. It's a little tiny box of wax....I've beaded and sewn MILES of thread and I'm still not thru the 1st box!

there is a liquid that is called 'sewer's aid' it helps, also bees wax helps. the biggest help though is...
cut a piece of thread off the spool about 18" long (no longer) thread the needle from the end you cut. We are all tempted to cut a piece of thread as long as we can reach (and then some) and the natural twist of the thread from how it's made and also from how it comes off the spool causes it to spin and twist, it does not save you any time to cut your thread long, all that 'saved time' is spent dealing with tangles, if you cut shorter lengths you will find you are not spending time untangling and it does not take anywhere near as long to re-thread a needle. if you really don't want to stop to rethread, thread a bunch of them at one time and line them up in your pin cushion then when one runs out you can just pick up the next one.