I'm pretty sure most people use embroidery floss. It doesn't come on a spool like yarn but is rather just wound around itself like this:



You can separate the strands to use as many threads at a time as you want. I think most people use two to three strands at once so that there's enough color/thickness to really see the design. It's kind of like licorice, just separate a few strands from the major one and peel them away, thread them through you're needle and you're good to go!