Probably not going to find the type/color of thread you're looking for at WalMart.
Suggest you do a search on mil-spec sewing thread and go from there.
Generally, use heavier thread on heavy items, lighter thread on light items. Composition of the thread (material) is a component of its' strength, as well as the thread diameter. Try to match the thread (both in diameter and material) to the item being sewed, unless there is good reason for not doing so.
What you WILL need is appropriate needles, some of which are very stout. In some cases, you night need to use a sharp awl to punch a pilot hole in thick fabric to allow the needle to penetrate. You will also need a properly-fitting thimble, preferably a stout (thick) one to help push the needle through
some the fabric; the thimble is NOT a substitute for the awl. Countycomm sells decent titanium thimbles.
Some decent needlenose pliers can also be useful. Suggest not cheaping out on the needle nose pliers, as a decent pair can be useful for many other things. Once you have used a decent pair of parallel-jaw pliers, you will treasure them:
https://smile.amazon.com/gp/product/B01FSVMGXY/ref=ppx_yo_dt_b_search_asin_title?ie=UTF8&psc=1Something like this:
HD Needle Kit might serve, as well as a selection of smaller sewing needles for use on lighter fabrics.