Congratulations. I have an HQ 16 and she is happy with Connecting Threads cotton thread. I buy it on sale. Yes, it can be linty, but so is batting and fabric. I use the thread for piecing too.
If you have a local or nearby HQ dealer, go in and see what supplies they have. One of my dealers has an HQ educator in last fall and I attended all 4 sessions. It was great to get tips and tricks from an expert. Plus they had all the HQ accessories on sale for 20% off. I was able to buy a ruler base for a very good price.
HQ also has a ruler of the month club. The second one is underway, but there could be a third one. You would register for that through your local dealer. I am lucky to have two dealers to choose from, one 40 min north, the other 50 min south.
I try to buy my needles and bobbins through the local dealers, plus rulers. I feel it is important to support them ,so they are there for me when I need help. I bought my machine second hand, and have had great advice, help and support from my dealers. One shop ordered in a roll of batting for me and gave me 25% off.
Others have mentioned the HQ Facebook page, YouTube videos and the HQ forums and website are all full of great information and helpful people.