I love my Glow-wand as well!
alright, this is how I would suggest going about string replacement..
for regular and glow wands, I use the clear, almost fishing line-like
thread.. you can get it in the beading section of any craft store. I
enjoy using it because it doesn't wear and its easy to untangle. For
my firewand I use Kevlar thread. When replacing it, it's basically like
threading a needle. The LED gets tricky because the whole thing is hollow,
but luckily (with mine at least) you can see right through it and
navigate. lol. For solid wands/firewands, if it gives you any problem, I
usually just push a needle through the hole first, then take it out and
put the thread through, it helps alot. I also don't use a fingerloop. I
just tie it together at the length at I want, and put it through my
thumb. I've found it ALOT easier to switch hands this way, but it's not
ideal for vertical illusions, such as making it crawl up your hand.
Length wise, I usually keep it at the same length, my middle finger can
just barely touch the tip of the wand. I've found this extremely
convenient, control wise. The only time I use a longer thread is when
I'm using the firewand, for obvious reasons.
hope that was at least a bit helpful