For most projects where beads are just embellishing some areas or doing things like being eyeballs of birds/bugs or pollen area of flowers: when making the top leg of your cross stitch -- bring needle to top of fabric, thread bead onto needle and then complete last leg of cross stitch. Threads stop and start just like for normal cross stitch.
Some 28 count petite tapestry needles will fit a normal (not petite) Mill Hill glass seed bead; mostly you'll need to switch needle to a #10 beading needle.
Some other beading things:
If you just have to put one or two beads on your piece, don't bother switching to a hard to thread beading needle. Bring regular needle up to front of fabric to start completing last leg, take needle off and just put thread through bead and then back onto needle. Life goes on without the needle switch (and a very irritating way to do if you have lots of beads to attach).
If you do need beads to be perfectly in a straight line or rectangle (almost never in cross stitch projects), to make sure they all perfectly face the same way:
(1) bring needle up to start first leg of cross stitch, add bead, go down loosely to finish first leg
(2) bring needle up for second leg of cross and pass through same bead, tighten and finish last leg.
If you have a bead off somewhere all by itself with no stitches nearby (for example a navy/black fabric with some beads spread out to make "stars" or "snowflakes)", knot before and after beading onto a single cross stitch to attach (try to keep knots small and definitely behind the bead). It's not like bead isn't lumpy anyway where anyone can spot the small knot.
For beads added to stitches, use thread color pattern calls for. For beads out on their own, use thread that matches bead or fabric color; they sell an invisible thread that is a pain to work with (feels like fishing line). Wichelt's website lists DMC color numbers next to their fabric colors and has a DMC chart to match beads at http://www.wichelt.com/freegraphs/pdf.html?pdf=bead_to_dmc_conversion.pdf&title=Bead%20to%20DMC%20Conversion
Mill Hill books and kits are going to show you dozens of methods; a good diagram is at bottom of this page: http://homepage.mac.com/cfitzgerald/Needle/embroid.html
