I don't use thread, I use the smallest fishing line I can find, like 5lb or 10lb test.
First and foremost - I have had problems with frags that are too small. You need to realize that a leather is full of water; once you take it out of the tank, it will shrivel up to about 1/2 its size to sometimes even smaller. Just make sure you get a piece that is big enough for you to handle; you're going to have to put a needle all the way through it.
First, get you some fishing line and a needle. Take the line and thread it through the head of the needle. Pierce the base of the leather with the needle and continue until you're all the way through to the other side. Take the line out of the needle eye, then tie it the newly threaded coral to a piece of rock with the freshly cut end pulled to the rock. Do this again, 90 degrees and a little higher/lower than the first hole. Wait about 2 weeks and you can then cut the line. I normally don't pull it out until a few weeks later just to make sure I don't tug too hard and rip the coral from the rock.
After the leather is attached to the rock and you've removed the thread, get a two part epoxy stick and glue the rock that your leather is on to a spot that you want the leather at in your aquarium. You don't have to buy the epoxy stick sold by your lfs; the stuff I use is sold at Lowe's for a fraction of the cost and works just as good (AAMOF, it's the same stuff, just a different color).
HTH.......