I like DMC or crochet thread. I do not prefer yarn. It is harder to pull through and turns to a fuzz ball after a few washings.
The important thing with tying quilts is to have a secure knot. I work with charity quilts, and some of the ones that come in are tied with granny knots. I can pull them out with no trouble, so they will never stand up to normal use or washing.
Dayle