Many, perhaps most, quilters use a single color of thread usually matching the background, throughout their quilts. Others prefer using colors matched to the area being quilted, ie. Occasionally, as on a quilt with a very dark background and a lighter design, it may be desirable to use thread in the design color throughout. The choice of which approach to use may be limited by fabrics which no quilting thread will match. If for any reason you didn't wax your thread while appliqueing, by all means get some wax and plan to do so now.
Nobody can enjoy quilting with tangled threads.
Some quilters use protectors which they design themselves. Most quilters also keep a suply of band-aids on hand especially for use on the underneath fingers. It is impossible to make a recommendation other than just to experiment until you find something you like. Originally developed for use on udder irritations in cows, it does wonders for sore fingers. Almost all quilting supply stores stock it, as of course do veterinary suppliers.