This is a Self Threading Needle or Cheater Needle you can find them at almost any place that sells sewing supplies. How it works is you slide your thread over the top of the needle and it will pop right in, POP!!
I like to leave my stops and start threads long so they are easy to spot and easy to work with:
I slide the tip of my needle in as close to where the thread meets the fabric, push the needle at an angle through the batting but not through the backing fabric, that would be a NO NO, go about a half inch and push the needle out of the quilt top.
Now you get to POP, place your thread tail over the needle and you know, POP. without cutting the fabric.
Pull your needle all the way through, until the end of the thread pulls through
Now pull on that tail and clip it as close to the fabric as possible, curved scissors will work the best.
Nice and Neat
DON'T worry, YOU CAN DO IT