Thread Exchange is in the US, and that explains exorbitant shipping. Besides that their quality of orders (not of the products) is on and off. I have ordered from them, in the past, and gotten wrong threads. After a short back and forth, in which the onus of convincing them that the shipped thread was totally wrong in color, they got their pants in the knot. What begins on a wrong footing, has to end right away. Haven't been ordering from them since. There are too many other sources. And if you are ordering with USPS delivery option, then the last mile will still be Australia post.
I scavenge every factory close-out sale, and I got tons of thread for dirt-cheap, that way. See if you can do that.