I tried threading a couple of times and loved it. I'm sensitve too and wax is not an option. The girl who did the threading left the salon though, so I'll have to find someone else who does it.
Another option is just having someone tweeze. It's tedious, but my nail person would tweeze mine for the same price as waxing, though it took longer. I was a very good customer and she volunteered to do it, so I agreed. I don't get my nails done regularly anymore though, so I'm not sure if she would still tweeze me. lol