I used a thread called Very Velvet and used a chenille needle to accommodate the thickness of the thread.
After forming the "X" bring your needle up above it, in the middle as shown.
Form a loop with your thread now, taking your needle over the first part of the loop and under the second side. Please refer to the photo below to see what I mean about the placement of the needle.
Using your thumb to hold the loop in place take your needle under the center of the cross stitch from top to bottom. Make sure the loop is under the tip of your needle.
Pull the thread through and it will form a small knot over the center of the "X".
Take your needle down below the center of the "X" as shown and the first stitch is done. Bring the needle up again as close as possible to the top right hand portion of the "X" and you are in position to start the next stitch.