I've been getting my brows threaded for years and I can tell you that is def better to go to a salon and leave it to a professional. It is often difficult to find salons, but the results are worth it. I used to always wax and pluck but threading is so much faster and more precise. The shape is absolutely stunning. Heres where I go: Ziba Beauty. Another alternative in Southern California is Farri's.
If you're having trouble finding a place in your neck of the woods, check out an Indian store or salon, or ask an Indian friend. Oftentimes, you can find a threader who works out of her home, so its even cheaper than the fancy shmancy salons. I've paid anywhere between $5-$15.