No, you wouldn't use regular sewing thread for your seams. Most knitters use the yarn that they knit the garment (or thing) with.
I use DMC Pearl Cotton (SIZE 5)for seaming. I rarely use self-yarn for seaming any project. Try to use the mattress seam (the easiest and neatest) shown here at KH in a video clip.
CLICK HERE to view the DMC Pearl Cotton at Joanns.com
It is cheap, and it goes a long long way.