I like making I Spy quilts and have done all the above. The diagonal is the easiest and there is minimal turning the quilt and you don't have to mark anything. I use "Gutermann invisable" thread from JoAnns in the top and a polyester thread that matches the back in the bobbin. I sew on a vintage machine, and I have to reduce the top tension a little bit to accommodate the thread. I've never had any problem with this brand, but have had problems with other brands.
The finished block is 6", so that's the widest space between the stitching. I use warm and natural batting, so that works with that batting. I'm not sure you can see the stitching in this photo, but is one I quilted on the diagonal.
bkay