I use the sharpest needle I have with the largest eye to accomodate what ever I'm using to tie it with. I like to use either a crochet cotton, or the embroidery floss... not the floss actually, the one that's rolled in a ball... I forget what it's actually called.... heavier than embroidery floss , not as slippery, sold in the same area.... you know what it is...
I never warmed up to the look of yarn...

When you tie, do you use a curved needle or a straight needle? Or is it just personal preference?

I use a curved needle and they Usually come in packs of four (2 dufferent sizes). I also use pearl cotton.

Use the curved needles, they are awesome! Very sharp, large enough eye for just about anything you want to use and they help reduce strain on your hands. I only use the curved needles when I tie quilts. The best thing is that you don't have to flip the quilt back and forth. I thread the needle with a pretty long length of (usually embroidery) thread, and working from the top, I take a bite of the quilt, draw the thread through, leave long tails and cut. I place all my "ties" at once, then go back and tie them....assembly line style, I guess.