I am surprised to see only one mention for threads from Threadart.com I have used their threads for over 6 years now and have all my pupils on their threads. Very low lint on the cotton threads,
http://www.threadart.com/c-661-cotton-thread-sets.aspx Their colour twist thread
http://www.threadart.com/c-9-color-twist-thread.aspx is wonderful for embroidary and I have used it for quilting with great success.
I have an Elna 720 which loves their threads but my pupils have a huge variety of machines and their is not one that doesn't like it. Oh did I mention their prices, amazing low prices combined with superb service, do give them a try you won't be disappointed.
As far as blades are concerned I get mine from EBay as being in the UK we don't have a Harbor Freight locally
I don't have a sharpener but I do find that cutting thro' a few layers of tin foil gives a bit extra life.