How to thread a Punch needle
Thread your yarn through the hole of your needle, moving from the slotted to the other side of the needle.
Place the yarn into the slot at the bottom of the needle.
Pull on the short end that you just put through the hole until you have about an arm's length.
Hold the needle in one hand and pull on the lower end (the one that comes out of the bottom of the needle). This will make the yarn pop into the slot.
Just leave a tiny bit of yarn hang out of the needle's hole. You don't need to waste precious yarn here.
For punch needles without a slit: use a wire or a long needle threader to pull the yarn through the needle. Make sure that the yarn’s end is coming out of the tip of the needle and thread it through the needle’s eye.
For more details and instructions consult Amy Oxford's Handbook that comes with your Punch Needle.