Whether to condition your threads or not is a matter of personal preference most of the time. Beeswax is a tried & true method for taming and waterproofing threads that need it.
To use: simply glide the thread gently over the wax once the wax has been gently warmed in your hand. The thread should not look coated - but the nearly invisible coating will help your threads glide through fabric, increase in strength, and add a bit of water protection.