I like to use 100 weight silk thread for applique. It really disappears into the fabric. One thing you might try (and it might not help) is to change which end of the thread is knotted. That is, if you're currently knotting the end that you just cut off, try knotting the other end instead. The theory is that the twist of the thread can make a difference. (I haven't found that to be true with the silk thread.)