That thread works well Chewie. It's not too thick. It does take forever to get the hair correct. I've found it helps to have just taken night time cold medicine before adding the hair. That is what I did with the blue one. I think it came out better than the green one when I wasn't dozy.
As for the thread, I just randomly picked out some black thread that was in my wife's sewing cabinet. Are you going to paint on the neck piece or sculpt it? It's pretty much just a flat piece of sculpty then cut to shape on the figure with a exacto knife. How did you do the hair? Did you just cut pieces of thread and glue them on individually?