I get most/all my hand sewing needs, including thread, needles, awls, etc from Campbell-Bosworth
I mostly use unwaxed linen - 5 cord (left or right hand twist - doesn't matter for handsewing) is a good all purpose thread for heavier gear such as sheaths and holster on up to light saddles. 3 cord I generally use for lighter goods, especially leather clothes, or when I do higher stitches per inch as 10-12 on pouches and such. On the other hand 4 cord is good all purpose size for both and especially if you use a higher stitch per inch such as 8 or more to the inch which is more typical of fine period work anyway.
Campbell- Bosworth:
http://campbell-bosworth.com/catalog/advanced_search_result.... - I have not used the less expensive Hungarian thread myself so cannot offer an opinion whereas I have used the Barbour's for close to 50 years. The Barbour's may sound expensive up front, but overall the cost is MUCH cheaper than buying the small rolls from other sources.
For needles when doing the saddle stitch I use Osborne egg eye needles in sizes to match my thread:
5 cord size 0
4 & 3 cord size 1 or 2 depending on stitches per inch.
For sewing clothes not using the saddle stitch I generally use a number 8 glover's needle.
When threading the needle you should taper your thread - hard to describe how-to. Al Stohlman's book The Art of Handsewing Leather shows how-to and IMO that book should be a must for anyone interested in leather sewing.
Because I'm an old timer I also keep some linen and hemp single cord thread around to make up my own threads with any number of cords I want - again Al's book shows how-to.
I often use a simple rolled double cord to sew around inlays and for other decorative work at a high stitch count of 10-15 per inch. Shoemakers suppliers usually keep such threads in stock as well as some of the re-enactor supply shops - also on Ebay.
All threads are unwaxed - IMO the commercial waxed threads are way too heavily waxed.
I use a simplified variation on the time honored coad aka hand wax rather than plain beeswax - I use a simple pine rosin and bees wax mix of 40% rosin and 60% beeswax. This makes the threads a bit stickier than plain wax helping to lock the threads as you pull them up snug and the rosin also adds anti-microbial/fungal properties to the thread.
I collect my own rosin these days, but myself and others have successfully used brewer's pitch, violin rosin, and bull rider's rosin - all available from various online vendors.