Before you pick up the beads for your first row(s) or rounds, measure off the length of thread tail that you need.
At that point, start wrapping the thread around the index finger of your non-dominant hand. If you are right-handed, wrap the thread around the index finger of your left hand. If you are left-handed, wrap the thread around the index finger of your right hand.
Make several wraps to ensure that the thread won't come loose easily.
Once you have the thread wrapped securely around your finger, start picking up the beads for the first row(s) or rounds.
After you have stitched the first few row(s) or rounds, you can release the thread from around your index finger.
It takes a little practice to use this method, but it is convenient and doesn't require the use of any other tools or materials and won't damage your thread.
Make sure that you don't wrap the thread too tightly around your finger - you don't want to accidentally cut your finger with a thread like Fireline. You can also wrap a fabric bandage around your index finger to act as a cushion between the thread and your finger.