This is used to bind the ends of the braid prior to applying FrayCheck and attaching the clasp. A heavy weight thread is recommended, light weight crochet cotton or embroidery floss works well. The reason that cotton thread is recommended is that it stays in place better than synthetic threads (like nylon CLon or SLon) making it easier to control when you are wrapping the binding.
If you have:
A heavy thread that is a similar weight to Micro CLon or SLon you can coat the thread with beeswax or a product like Thread Heaven as this will keep it in place when you are wrapping it around the braid.