I use Gutermann 100% cotton thread. As Peckish suggested, it may be your stitches, rather than the thread. I don't use a ladder stitch, but a whip stitch in which I stitch at a 45 degree angle. /// Like a backslash /// for some reason, the stitches show a lot less when I stitch this way, rather than perpendicular like an lll.... Also, you may need to take smaller bites of fabric with each of your stitches. Really all you need is a few threads from each fabric to create stitches.
Another thing to keep in mind is your stitches will be less noticeable after you are more experienced. Stick with it, and find what works best for you. Good luck on your EPP journey