This can happen and yes using a medium gray thread blends in with most fabrics. The other little trick is to invest in an assortment of colored "Pigma Pens". They are use for printing on fabric and are archival quality inks. Professional quilters use this little trick. They have fine points and just a touch to the offending thread showing will hide it perfectly. Please do not think of using "Sharpies", they will bleed into the fabric and are not as permanent as the "Pigma Pens". Your piecing is very nice and this is just something that happens when you are using widely contrasting fabrics.
Looking forward to seeing your finished stars.
peace