I'm making a quilt with denim right now. I bought a cone of polyester thread (Glide, Navy, No. 40 - I think that this last is the weight). I'll also use this thread for making 40-lb bird seed bags into grocery totes. Previously, I've used Coats and Clarks Dual Duty. I use 50-wt Aurifil for piecing, but weight of Aurifil is definitely not a strong enough thread for denim quilts because (the ones I've made) are basically quilt-as-you-go and don't have overall quilting to protect the seams.