I do both. I have the Magna-glide prewounds (love them, suggested by my dealer) and the Superior Bobs (they're okay, but they're on cardboard). If I can't find a color pre-wound or want Invisible on the back that I want, then I will wind my own. As far as thread goes, I have used cotton and poly. I found the King Tut (cotton) lintier than poly, that said, it worked fairly well in my machine with just a little tension problem between it and my bobbin thread (Superior BOB), but I am about to try Fil-Tec's cotton and see how it works in my machine.
I am finding that just like DSMs, different threads work differently in different LA machines, so it becomes a matter of personal preference.
I definitely agree that if the dealer offers classes, take them. It is fun to play when you get it, but if your dealer offers them, the classes help so much, especially for tips on tension and maintenance for that particular machine. When you take a longarm class at a show, the classes pretty much assume that you understand the basics of using a longarm, unless it states that it is an introduction to longarming class.