I've had trouble, finding an easy way to integrate Threats rolled by myself or players.
I also have trouble imposing setbacks. I should be applying setbacks (from one reason or another) so my players can make use of their talents. (It also feels like adding insult to injury) but after all this time I've just been using the purple/red difficulty dice as the opposition.
I tell the story, and the game has been fun, so I must be doing something right, but I feel like I'm missing something. Any advice, tricks, or tips to remember?
There was some discussion about when it's appropriate to add setback dice or upgrade difficulty dice in this thread. That may shed some light on the issue. I think the best guidance is on page 17 in the Beta text, under "Adding dice" in the the "Modifiying a pool" section:
"One way to modifity the basic dice is to add dice to reflect the environmental conditions or various advantages and disadvantages. This is done primarily through the use of Boost and Setback dice. As a general rule, one Boost die (W) is added to the dice pool for each advantage that would help the character succeed, and one Setback die (B) is added for each disadvantage or obstacle impeding success."
continued one paragraph later:
"Likewise, a single Setback die (B) is usually enough to reflect the impact of detrimental or obstructing effects like poor lighting, inferior supplies, harsh enviroments, or outside distractions. If more than one fo these disadvantages are applicable, the GM may add mulitple Setback dice to the dice pool."
So, enviromental effects and other conditions external to the task are typically why you apply Setback dice to a roll. For example, if a PC was tracking a humanoid on a terrestrial (say "Average" difficulty), you could add Setback dice to the dice pool if:
The ground is very hard, and its difficult to find tracks
The lighting is poor
It has rained since the character moved through the area, washing away tracks
To contrast, I'd say you'd increase the difficulty if the PC was tracking the target in a jungle or other really problematic terrain (blowing snow, caves, etc) and if the target they were tracking was a highly trained survivalist, that's when I'd upgrade. Different GMs may draw lines in different places, though. You mention that yuo've been relying on purple and reds for adjusting difficulty. If you've been increasing difficulty (+P) instead of adding setbacks (+B) to account for the kinds of situations listed above, you may be guilty of "doing it wrong", as far as you can apply that phrase to a creative, narrative game.
As far as spending threat, the options on page 133 for combat threat are a decent place to start (though cost-benefits on a lot of the options are totally screwy). It can be tricky to come up with appropriate narrative results on the fly, but keep practicing at it. I'm really worried that as time goes on, though, tables may fall into using the same, easily remembered ways to use threat, instead of coming up with novel results for every result, which a level of creativity that's hard to sustain for a few hours.
A similar example occured while my table was playing WHF3e recently, the GM really agonized over the equivalent of a "Success with Threat" on a skill roll. The conundrum was how to impose a penalty that didn't negate the success. It was a sneak roll, and the GM didn't want to force another sneak roll, which he felt would negate the success. What we came up with was that, while character sneaking wasn't detected, he didn't end up where he wanted to be, and had to RP his way out.
The take-home here is that you should keep at it, and try to keep it as novel as possible while keeping the game moving. The results Riplikash provided are great.