If the thread works out horrendously expensive, try googling for it on mainland Europe. I bought in linen thread from Germany that was a fraction of the price I would have had to pay here, and the quality was superb.
I used the German, Latvian, Polish words for linen in my searches and found masses of good stuff.
The Swedish used to (maybe still do
) make superb linen thread for weaving, and some of those suppliers also supplied heavy weight sewing thread too.
Interested to hear what you find
cheers,
Toddy