If you are using a diamond point punch to make the holes why not use a sewing awl
http://tandyleather.com/products.asp?number=1216-00
which has the needle and thread in one?
I tried one years ago, and didn't care for it. You still have to pre-punch holes, and it's critical that you maintain proper tension on both threads, which is a bit of a trick. A stitching horse really helps. I prefer just a simple needle myself; YMMV.