I love Mary Jo's and I also go to Long Creek Mills. It is about 5 miles from Mary Jo's and sells threads at incredible prices. I buy all of my embroidery thread for my machine there. $5 for a the large cones. He sells Maderia, Marathon, Robison Anton and so on.
I live in SC about an hour and 45 mins from Mary jo's I was going there Monday but went to Forest City NC instead. There is a wonderful fabric shop there too.
I go to Mary Jo's quite often.
Sybil