This is a technique I first came across in the 90's in a Fly Fishing and Fly Tying article by Davie Wooton. That's a great demo Hans and will help a lot of people (though I find the people who need it most will not bother to view it).
There is an additional tip if you find it difficult to split fine threads. Place your index finger behind the thread pointing toward you and run your finger nail up and down the thread. This will cause the thread to spread and give you a bigger target area to aim at with your needle.
You'll notice if you watch carefully that Hans is using a bodkin made from a sewing machine needle (it looks like a Petitjean one to me). Sewing machine needles are designed to go through threads without damaging them. They make the best tool for this job, and it is easy, and inexpensive, to make your own.
"Political correctness is a doctrine, fostered by a delusional, illogical
minority, and rabidly promoted by an unscrupulous mainstream media, which
holds forth the proposition that it is entirely possible to pick up a ****
by the clean end"