Ok, I decided on the medium blue thread. I set my zig zag stitch length at 1.0. There will be some fraying so I wanted the stitching to contain it somewhat.
I start by running a straight stitch around the outside edges, there's no need for zigzagging since those edges will be either in the seam or under the binding.
Be careful not to stretch the sweatshirt while you are stitching the pieces on.
I straight stitch along the sides of any pieces on an outside edge that won't show
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Here's what my zig zag stitches look like
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