Green’s Dictionary of Slang

(US) to dress oneself, to wear.

1965		S. Yurick Warriors (1966) 77: ‘Man, how can you thread yourself so queer?’ Dewey asked. ‘Look at that cocoon.’.
1998		P. Doyle (con. late 1950s) Amaze Your Friends (2019) 174: He’d always look after his appearance and threaded himself out pretty well.