I have used lots of perle cotton and crochet thread of varying weights, as well as embroidery thread. They all work fine for tying quilts. The perle cotton is shinier. When tying quilts, I want something that will stay tied and be secure. Personal preference is not for thicker yarn that turns into a fuzzball when washed.
Crochet thread is not terribly expensive, but can be easily found at estate and garage sales for very low prices and in many colors.
Dayle