Try vinegar on the blue marks you couldn't get out. It is supposed to take them out. I would rub it in gently with an old, soft toothbrush.
Superior Threads offers a lot of different types of quilting thread for machine use. King Tut is one of the favorites for the top thread, and I think So Fine! is one of the favorites for the bottom thread.
You can use the walking foot to make gently curving lines as well as straight lines.