I use a water soluble graphite art pencil called Derwent Sketching Light wash HB (English) or Technalo Caran d'Ache 779 #B (Swiss made) art pencil. I find them by googling the name and buy from the cheapest source. If you use a light hand, they mark quite well and come out when the piece is washed -- so I use them often for marking my quilting designs for handquilting. You can make a thin enough line that the embroidery thread covers the line completely.
Jan in VA
P.S. I believe General makes a water washable pencil as well.