I just went to my sewing shop's seminar on this very thing.
I was amazed at the variety of thread now for embroidery or bobbin work
The main thing that she shared was to have a second bobbin case, one that is either a special "low tension" bobbin case or one that you loosen the tension yourself depending on the thread being used. You label that bobbin case for embroidery threads and label the other one "regular" so you won't mess up the tension of your regular bobbin case.