If I want it taut and it's a long run or needs to be flexible during istallation I use fly fishing tippet and tension it with heat. If it needs to be taut and it's a short run and it doesn't need to flex much to install I use stainless steel catheter lead (.005" dia. painted to what ever color). For sagging lines I use either the catheter lead or the fine EZ-Line (Berkshire Junction, check model railroad places).
For stuff smaller than 1/350 I usually use smoke colored invisible thread and leave it unpainted.