Blood Knot is what I use. Google it. You Tube has good video.
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A blood knot works best with thinner poly or cotton/poly thread-- typically called "heavy duty" in a fabric shop. If using a thicker #2 braided silk thread, it's better to tie a simple loop knot. This is flat on one side and can sometimes be coaxed into position so the knot rides on the outside of the loop.
In my NOS package of the Micro Seiki K-5 thread came a little piece of paper describing how, in Micro's opinion, to tie a knot for use with their turntables. It was in Japanese, so I had it translated by a friend. I posted both the Japanese and English versions--with a scan of the tying directions--on Vinyl Engine. You can download the pdf from here: