The best changing bag is a small rucksack, such as you may already have. You need wipes, cream, nappies, nappy sacks and a change of clothes. You also need small bin bags for dirty clothes. A small toy and some snacks are good. Maybe a bib. Put each group of items in a ziplock bag or carrier bag to make them easy to find.
This is everything there is to know. What in the world did they fill a thread with?