I use a 10 - 12 between (very tiny). I agree that it's a good idea to thread a bunch all at once -- I usually have 6 threaded. I use regular thread, but I run it through bees wax. Single strand. I enjoy doing the finishing work on a binding, and I think using the tools and method that works best for my expectations is part of why I like it. I can finish a queen in a couple of concentrated hours, usually while watching TV.
Recently I took over finishing a binding my sister had underway. She was using a very long thin needle -- probably a straw needle, and she had uncoated, double strand of thread. Talk about misery! The long needle makes it tricky to make a secure finishing knot, at least by the methods I prefer to use. The uncoated thread tangled and shredded. She thinks my tiny needles are impossible, but with the exception of the challenge of threading them, I think it's ideal.