I thread baste using Sharon Schamber's method - however I use water soluble thread so I don't have to pick them out.
I don't recommend FMQ'ing over regular thread. Most of time it will be easy to pick out, but sometimes your quilting stich will catch just one of the ply's and you'll have a hard time pulling the thread out - you could catch one of your quilting stitches and pull IT out by mistake.
A problem I DO have even with the water soluble thread is that my open toe foot will sometimes catch a basted thread. I try to hold the basting stitches flat when I'm quilting, but sometimes I just don't get my hands in the right position. It only becomes a problem when I don't see it (the thread in the right light is invisible) and as I'm trying to move my quilt it's snagged on a thread and won't move. Grrr.
Next time ... I'm going to baste the Sharon Schamber's way BUT I'm going to do my basting stitches from the back. That way the long herringbone stitches will be on the back of the quilt, and only the smaller horizontal stiches will be on the front - so less that I have to worry about.