C Coyle mentions using a bit of glue to settle the fuzz. I have always beeswax with good results. It reduces the fuzz and stiffens the thread a bit. A lot of wooden ship modelers swear by it for rigging.
Micromark sells a set of three 1-oz bars of beeswax for $8.95. One ounce is about the size of a pack of chewing gum, and it will last almost forever.