Once you have your secondary thread ready to go (it should be six inches longer than the length of fabric you wish to gather), you will need to adjust your sewing machine to sew a zigzag stitch that is wide enough to stitch over the gathering thread. The stitch length will also need to be adjusted (an 1/8 inch between the points of the zigzag stitch makes for a nice sized gather on most fabrics). It is a good idea to test your stitch and gathering thread combination out on scrap fabric to make sure that 1) you can stitch easily over the gathering thread without stitching into it, 2) that the gathering thread is strong enough and, 3) that the stitch length works well.
After you find the correct stitch width/length, you can begin sewing over the gathering thread (please note that while I have used a contrasting color of thread in the example, for this method, you will want to use a thread that more closely matches the fabric, because you will not be removing the zigzag stitch when you are done). The tricky part is holding the thread in place at a consistent distance from the edge of the fabric as you sew. The key is to stitch slowly as you guide the fabric under the presser foot while holding the gathering thread at the center of the presser foot opening. A specialized cording sewing machine presser foot can make this step easier, but with a little practice, you can do fine without it.
As you stitch across the edge of the fabric from one edge to the other, make sure that the zigzag stitch does not sew through or catch the gathering thread. If this happens, the gathering thread will not be able to gather the fabric because it is trapped. When you are finished, it should look like the photo above (the faint white line in the middle of the zigzag stitch is the dental floss).
I hope this series on the different gathering methods has been informative. I will be following up with an article on how to sew the gathered sections to another piece of fabric that will include a photographic comparison of the results of each of the different methods for gathering.