I have seen this done and have practiced it myself in Shaolin. It does work but is more of a trick than anything else. The needle is thrown from very close to the target, so if you wanted to get the needle into a person you would be better off just leaning a little further forward and sticking it into them. In addition most of the glass they use to do this is quite cheap so breaks easly.
If you do want to practice start with a darning needle and throw it into a wooden board, if you can get it to stick in then you are half way there, practice all day every day, and either you will be soon able to peirce glass or your arm will fall off.
If you want further info please ask.