In garment sewing, I don't change the tension at all -- just use a big stitch, anchor the top thread, and use the bobbin thread to gather. If you're gathering very tightly and/or over a long distance, you do want a strong bobbin thread -- dual duty plus or good quilting cotton should work fine. Usually if I'm going over a long distance with tight gathers, I'll break the line of stitches into 2 or 3 sets so I don't have to haul on the same thread for so long.