When I did it, I used two spools of regular weight black thread on the machine but threaded them as if one thread. This worked really well. When threading the machine, you can pass one thread on one side of the upper tension disc and the other thread on the other side of the upper tension disc if you want; I don't think this made any difference on my machine.
Another option is to buy a heavier weight of thread. The smaller the thread #, the thicker the thread. Regular thread is 50wt 3-ply. A 30wt thread would probably be a nice weight for machine blanket stitch.
Do test swatches so you can get the tension setting right and are sure it is the effect you want.
I should add that on my older Bernina, I used the blind hem stitch (not a blanket stitch) reversed. The blind hem stitch does not double-stitch anything.
Oh, and any thread underneath is fine as long as you can get the tension right so it does not show on top.