I use Sharon's method as well and there is only one thread I will use.

Water soluble.

I can quilt right over it and when I'm done quilting it washes out.

And yes it holds the quilt together. Even a heavy flannel quilt.

I used the smallest size of pearl cotton I could get at JoAnn's. I have also used size 20 crochet thread. Both are grippy enough to work with her method. I also bought large doll making needles at JoAnn's and they work really well with the bigger size of thread.

Trying to find not mercerized thread
 

I have been searching for non-mercerized tatting thread. Even DMC...that I have found, shows that it is mercerized. Please share with me what you are using that is not mercerized.

I use the DMC tatting thread with the herringbone stitch, and it works beautifully.

Size of thread?
 

Thank you for responding so quickly! One more question... what size thread should I use for sandwiching? I was thinking about using a 10 or a 20, but is that too large? I do not want to leave holes in the quilt.

I used to use serger threads to thread baste my quilts but I no longer thread baste. I took the leap to basting with Elmer's washable School glue it has made my quilting experience so much nicer. What I say to people is do what ever fits your quilting style and needs.

What about using water soluble thread? I have used it to machine baste quilts to get the pins out of the way for my design. I can’t do hand work - my arthritis is too painful.

I assumed the tatting thread came only in one size. You don't need a thick thread for basting; the thing about the tatting thread is that it is rough, so it doesn't slide through the fabric the way a smooth thread would.

I'm so glad you said this because I've been looking at various ways of basting a quilt, pinning it just didn't do myself or my fiancé any good at all, we spent so much time in the floor that we were stiff and sore for a couple days after so I'm researching alternatives. I've got two quilts on the horizon that I'll have to bind, with another one in the wings, I've been keeping an eye on water soluble thread and wondered how it performed. So the thread stays intact when you iron with steam or is ironing avoided until after the quilt has been washed?