If you ever get the opportunity to take a hands on class at a major machine quilting show (such as Birds of a Feather or MQX) I highly recommend it. Many longarm dealers also offer classes. They are expensive but worth it in the long haul. Yes there are many on line classes as well. AQS offers several you can either download or purchase a CD and they are a fraction of the cost of attending a hands on class. But I feel you get much more out of a hands on class.
As far as quilting in many different color threads and rolling back and forth, you have gotten great advice to baste well. An alternative is to do all you SITD first (and baste the edges), which can also act as all over basting, then roll back and forth for each color change. Here are in-process pictures of a quilt I did using just that process.
Agave Garden Going over the top with quilting sneak peek