Do you mean you want to change the thread color for different fabrics on your quilt as you are quilting? I've done that before. I just pull up the bobbin thread, take several small stitches and go. You may need to adjust your tension if much of the bobbin thread shows on top (or top thread show on back). If it's minor, it probably won't be noticeable after washing. Try on a sample first to make adjustments.
I generally quilt whatever I can in the same color before changing. If I am stitching in the ditch at all, I do that first to help stabilize it. If not stitching in the ditch and want to stabilize, I use water soluble thread to help hold it together.