Threading is a wonderful process and so much gentler on the skin. I used to get waxed until I discovered threading about four years ago. Now, I go to my salon in Little India once a month - eyebrows, chin, sideburns, hairline - threading is quick and it lasts. Like the OP said, as long as the skin is taut, it is not particularly painful - IMO. I do have a daughter who thinks it hurts like crazy.
Check out regular salons as well as Indian ones. At the Indian salon, the cost is low; at the local salon it is not, but they do offer the service.