Sew with cotton thread or purchase jeans thread--it's available in lots of colors. Use a special denim needle--refer to your sewing machine manual for suggestions. Some people like to set their machines to sew about 10-12 stitches per inch when working with denim--or 15 per inch or so if you're making a frayed edge quilt.
You'll find that a walking foot helps keep the edges of your denim fabric from shifting around as you sew.
