I have a thread roll that I made in a class quite a few years back just for applique threads. It was before silk threads came out but to tell you the truth, I love cotton better.
A rainbow of colours! It has zipped sections with Ultrasuede that you sew the thread through, when you want a thread, thread the needle and pull it out through the Ultrasuede. These are Mettler 60 weight embroidery cottons. Nice and fine. There is also a pocket at one end and a zipped see through section on the other.