Hi, Sandy -
Candlewicking came about because the thread used for making wicks for candles was less expensive than buying specialty embroidery thread. So the original candlewicking thread was the color of the candle wick, an off-white-ish thread. Today, with the abundance of embroidery supplies and threads available, people have adapted the style of candlewicking to the vast amounts of materials available, taking advantage of colors and textures and thread types. But, the original candlewicking was done with a very plain thread, and frankly, I think that's where its beauty lies - in its simplicity.
Hope that helps!