For Crappie jigs you can use regular fly tying thread, I use Uni-Thread. If you wanted to use a heavier thread you could use the thread that rod builders use, I use this for bigger deer hair flies and streamers.
Fly tying thread is made out of polyester, sewing thread is cotton. I don't think the cotton would hold up as well, and may break easier while you are trying to attach the material to the hook and whip finish the head.