I work with a group of ladies that make Prayer Quilts. We use a double strand "perle cotton" No. 5 thread to hold our quilt "sandwich" together. Starting on top we go straight down thru all layers leaving 2"-3" tail on top, make one stitch coming back up thru all layers,then repeat in the same holes ending with beginning and ending tails on top. Tie as Norah mentioned.We space our ties about 6" apart or the distance from your thumb to your pinky finger across the palm (we don't usually have a ruler but always a hand available) :wink:
We tried using crochet thread but it had to be "tugged" thru the layers of some fabrics and batting (it was too heavy or thick). The perle cotton seemed to work the best. It is a little more expensive than some embroidery thread but on rare occasion Hobby Lobby and Hancock's have it on sale. No use putting something together inexpensively only to have it fall apart with use.
My mom made some cheater baby blankets for my sons several yrs ago using pre-quilted fabric and flannel then tied with yarn. The yarn didn't stand up too well to the constant washings they required.
I hope some of this message is helpful. Sometimes I get going and can't stop "talking". LOL