My way of connecting threads.
Tutorial.
Split treads into equal parts (even if a thread has odd quantity of plies I do try to split it identically). Make one half shorter.
Tie together 2 halves of the same tread with weaver's knot.
Add a bit of textile glue.
Tighten the knot and cut the ends.
Insert long half of the second tread into the loop of the first tread and tie together two halves of the second tread with weaver's knot.
Add a bit of textile glue again, tighten the knot and cut the ends on the second thread.
In this case the thicknees of the knot is similar to the thickness of the tread, knots are quite far from each other and hidden enough in knittied or crocheted fabric and the thikness of connecting point is as the same as one of the treads.
Russian version (Версия на русском):
http://lace-knitting.livejournal.com/21826.html