I haven't heard of this, but maybe it had to be done because the denim is so thick. I don't think I would do it for a quilt, I'd be too afraid of the oil staining the fabric. Have you tried bee's wax on the thread or a product call Thread Heaven? Both make the thread smoother as it goes through the fabric. I am sure others will be able to give you other ideas. Thread Heaven is available at Keepsake Quilting on their web site. You may be able to find some locally.