wool yarn? Thread?

I've decided that I do too much embroidery with wool thread to warrant spending the bucks on iny little packages of the stuff. I need to ramp up. I think my problem would be solved if I started buying cones of wool weaving thread - but I don't know how to tell what the numbers mean for 'gauge' (is that what you'd call it?). What I need is some really, really fine stuff that is also fairly strong. It doesn't have to be 'silk strong' but good enough to stitch with.

Some of you are weavers, or knitters, of fine-grade threads... what do you suggest? And would you happen to know of an on-line source? (I can go looking but if you have a store you deal with that you really like, I'd rather go there.)