Here's some "advice" from a fellow newbie. I'm a full-time college student who's been lurking, and working on small projects, since February. I have a background in fiber arts, so I have some understanding of threads/ fibers.
It sounds like you have either a Michael's or a Hobby Lobby nearby. For the long-term, cotton isnt the best choice, but the braided cotton in the jewelry section would be somewhat more durable. They also have waxed linen and thin hemp threads in the jewelry supply section, they aren't great quality, but they "work", and you can split the waxed linen down if needed (to a 3-ply size, for example). Hobby Lobby also has a #5 nylon thread in the macrame or yarncraft area which you can experiment with (your local Wal-Mart may, as well, thry also usualky have waxed linen in their craft area). Ordering a spool or 2 of linen or polyester online will serve you better in the long run (I bought a spool of Somac 18/3 linen on Etsy; you can dye basic off-white threads additional colors yourself).
Hobby Lobby has somewhat better quality leather and leatherworking supplies. Do yourself a favor and buy better quality leather than what is in most of the scrap bags, it is far easier to plan a project with better leather (I know this from experience; even if it's just the veg tan goatskin from Hobby Lobby, or the small rectangles of veg tan [you can make a couple front pocket card wallets from just 1], you can work much faster with larger pieces of decent leather).
Good luck! It is an addictive craft.