I use Superior Bottom Line in my bobbin on my DSM for piecing. It is a 60wt 2 ply so even finer than So Fine which is a 50 wt 3 ply. I press with my iron at the highest setting but only use a dry iron. If I need steam I spray with a mister bottle. I have had no issues of melting thread. I use aurifil in the top.
I'm not a huge fan of So Fine for quilting. I tried a cone in my LA when I first got it as everyone raved about it. There are too many other threads I like much better.