This is one of the coolest hairstyle I've seen this month. My sister just sent me a snapshot of this hair thread style and I found a few tutorials that actually teaches you how to achieve this look.
What you need:
A few color threads, a weaving needle, and a loom.
You might need a friend if you don't have extensions.
The most ideal way to do this is if you have hair extensions because you have the flexibility to create any design you can imagine. After you're done weaving you can place it anywhere on your hair.
The second way to do this is weave your own hair. It might make that a bit of time if you're not familiar with weaving. In this case, you might want to invite a friend over and do each other's hair. Sounds like the perfect pillow talk night or sleepover activity.
Here's a simplify version for those of you who wants to an embroidered hair look without all the hassle.