I don't think anyone mentioned so far, but use polyester embroidery thread in anything that will be washed a lot because rayon may lose color. I have seen cotton thread for machine embroidery, and that might be appropriate for a cotton quilt that will get a lot of use, or maybe just because the look is soft and less jazzy than the shiny threads. Make a test run with your particular combination to see how you like it or if there's a need to adjust the tension.