All I use is a normal sewing needle... Bring the line through the eye of the needle and fold it back down around 4 inches or more, then thread the worm on and pull the worm up the line until the line comes off the needle. Hasn't ever been too hard even with longer 6 inch worms. I have seen those hollow threaders around, and they might be good for out on the river quick thread ups, but it seems a bit un-necessary to me.
As far as the wool, I have no idea why he would. I personally add a bright chartreuse plastic egg just above the hook and below the worm. My reasoning for this is almost totally for the fact that the worm won't rip when it hits a snag or a fish grabs it and I can get multiple fish on one worm. I have also found however that the green highlight is deadly sometimes, no idea why. I will often times buy green tailed worms or green headed worms as well.
Lastly, the orientation of your worm doesn't seem to matter all that much. I have caught fish both having the worm threaded head down or the normal tail down, but generally I will run my worms with the typical tail down approach. Another helpful hint is to put the needle in around an inch down from the head of the worm and come out an inch above the tail. Seems to add more movement in the water, and I feel like I've been doing better with that.
Cheers,
Dan