Bee17:
I would listen to the others and scrap the thread that came with the kit. Try outfits like Bluejacket Shipcrafters or Loyalhanna Dockyard for rigging thread, or go to your local fabric shop and look at fine linen or tatting threads.
Before you start you should decide if you are going to display the sails set or furled. This affects the positions of the yards on the masts. It is also correct to leave the sails off, which would simplify the running rigging a great deal.
Some builders also replace the upper masts with wood dowel so the rigging tension will not warp them.
I would treat each mast and yard as separate items to be built and rigged. Start with the bowsprit, then the foremast, and work your way up and aft. Also fasten all the required blocks to the yards, rig their footropes, and add the accessories like studding sail booms before mounting them; it will simplify things for you later.
Standing rigging, which is usually black because these lines were tarred to preserve them, is done first. These support the masts. After that is complete then do the running rigging, which is usually white or tan, and which is used to work the sails. Again, start at the sprit and work up and aft.
Most first time builders have the most trouble with the shrouds and ratlines. The key here is patience and lots of evenings. I recommend building the shrouds on the model; I have never had any success with the so-called rigging jigs. You should have the lower deadeyes fastened to the model before starting. I make a U-shaped clip from wire that goes between the lower and upper deadeye for each shroud; this holds the deadeyes even when rigging them. After the shrouds are all installed and tied off I replace each clip with the lanyard (the line that joins the deadeyes). The ratlines come last.
Your instructions should assist you with locating the parts of the rigging and where each line ties off to.
Good luck and don't hesitate to ask if you get stuck.
Bruce