Usually, at the markets, such as Guanyuan, you could find many shops selling thread. I know a nice shop located at 2F, 2A-O56, Dongfang Tianzuo Shangcheng (东方天作商城). This shopping mall just faces to Beijing Insititute of Technology. From downtown Beijing, you could take the metro Line4 and get off at Weigongcun stop to arrive there.