The hole should be just big enough to pass the buds. Then one uses toothpicks, wood skewers, or the like, to fit the thread snugly against the top of the hole. Then you cover the two sides so that the cambiums on the entrance and exit sides don't desiccate (it isn't the end if this happens, just that your graft will take much longer to establish).
Scraping the bark on the thread is not a good idea as the normal damage response on a stem that thin is enough to clog the entirety of the xylem = the exit end of the thread (your graft) quickly dies of desiccation. As the thread grows, the hole you drilled acts as a tourniquet on the thread - the two cambiums find each other, make a common xylem. You will ultimately see the thickness of the thread on the insertion side is much thinner than the exit/graft side..