I bought a waxed cord and clasp set at Michaels for around $2.50 with a 50% off coupon. I really like simple, colorful jewelry, and I never had the patience to make friendship bracelets. I've tried several times in my life and I always make a mess of it. I'm too impatient! So this was a good way to get that look, in minutes. I think each bracelet took me less than 8 minutes each.
All I did was wrap the embroidery thread around the waxed cord as tightly as possible, and then use Mod Podge glue to make sure the ends stay down.
I used three strands of the thinner cord in one of the bracelets and went with a single strand for the other two. This is another method I've seen for wrapping stuff with embroidery thread, it takes a lot more time, but the result is pretty cool.