Thom,
What you have there is 4 strand rayon floss, not thread. Floss is typically what you use on humpies, royal wulffs, soft hackles, and wet flies. If you're tying Jeremy's rusty midge, you probably want to get Uni-thread 8/0 in 'Rust Brown' - I think that's what he uses. I use Wapsi UTC 70 in 'Burnt Orange', which I think is a good substitute. I personally like the Wapsi UTC 70 thread better than the UNI 8/0, but that's just a personal preference.
mAngler