One can get 'buttonhole twist' which is quite a lot thicker than the standard stuff I'm using. I've experimented with both, I've found it's quite hard to get really thorough coverage of the gimp with the finer thread but perhaps I just need (even) more stitches!
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Silk buttonhole twist is what's usually recommended. I also have bought Gütermann R753. Someone once told me that it was OK to practice with basting thread.