I usually use a double strand of crochet thread - a medium weight. I never use yarn. The Lutheran World Relief quilt instructions do not recommend yarn, and those quilts get hard use. A surgeon's knot is good, but I use a specialized knot where the needle does all of the tying -- faster and almost no waste in trimming the ends.
If I were doing your quilt I would do a knot at each sashing intersection, one in the center of the square where the seams meet and also a knot in the center of each sashing leg. The center of each patchwork square would be the only place where it might be harder to pull the needle through.
Adorable quilt and very cuddly!