I am in the process of rigging the model now. I have been collecting a variety of sizes of rigging thread. I will be using continually smaller and finer thread as I go up from the deck.
Unfortunately, sewing thread often no longer carries a size designation on it :-( At least the stuff I buy from Model Expo has a size listed in inches and mm which is better than thread "gauge" anyway.
Also, it is getting hard to buy very fine thread in craft stores these days. I have to order from ME or Bluejacket. The manager of my local craft store said the sewing craft seems to be dying. Scrapbooking, artificial flower work and such are the big things in their store now.