This site has a really good sale going on polyester embroidery thread. I ordered some to use on my longarm. I haven't ordered from them before, but someone on a longarm forum said that she tried the thread, on an embroidery machine and on a longarm, and it was good.
http://metroemb.com/
Depending on the quantity you order, the 5000 meter cones are 1.90 to 2.25 apiece, and there's an extra 10% off this week.