According to Kid Essense website, threading helps children perform crucial tasks like reaching, grasping, and moving objects. (https://www.kidessence.com/blogs/news/six-benefits-of-fine-motor-skills)
In other words, threading help with fine motor skills. Threading activity can be done by asking the children to thread shoe lace or string through a series of holes on a cardboard or any sturdy paper.
At first they may find the activity to be difficult having to grasp the tiny string and maneuvering through series of holes, but with encouragement and guidance, they will be able to complete the task.
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