You will need "unbreakable thread" - this can be crochet thread, dental floss, embroidery thread.
Start by tacking down your unbreakable with a few straight stitches.
Then change to a medium width Zig Zag.
Zig Zag over the unbreakable. Careful not to sew the unbreakable itself
When satisfied with length of fabric and gathering, tie a knot in the unbreakable thread to hold in place. Cut excess thread off
Credit for this method goes to Dancing Jamie