Depending on how primitive you want to go, you can use natural material, modern thread, of which there is a great abundance of choices. Personally, I am with Osage Outlaw, I prefer the upholstery thread at Wally World, or craft stores with a cloth section. I have also used colored rayon, and nylon thread, it is small, and strong. Also Power Pro small diameter fishing line works well also. Basically, any small diameter, and strong thread. Even regular cotton thread will work in a pinch. I coat them all with a layer of super glue. It adds a bit of protection from wear, and water proofs the cotton thread. You can also use the thread, that is used to wrap custom fishing pole guides. They come in various colors, and some come in multiple colors on the thread itself. You can make some nifty crests on your feather, and nock wraps. Also helps to locate a lost or "missed shot" arrow.
Wayne