I'm one to always try something new but I definitely have noticed a difference in how sharp the HF blades are--I'd just buy fewer and get them with cpons or ebay. Skip the sharpener...I've tried 2-3 different ones and they don't seem to really work.
Thread...I'm not picky. I'm like the user who uses poly on the cones. It works fine. I buy the stronger for quilting as the cheapest tends to break. But, basically, I use the thread I have--I have some old and some new. I don't like my thread to be too thick. I've used a lot of C&C in my time. I've never had a problem. I don't buy the el cheapo stuff anymore, though (regular size spools)...as it does tend to be very, very linty.
I buy almost exclusively the cone sized spools now. It is a lot cheaper.