Questions for the people out there who actually play with yarn

[jennythereader]

Which is finer, fingering weight, lace weight, or sock weight? Would any (or all) of them be good thicknesses for embroidering with?

I see all this beautiful hand dyed yarn for sale on Etsy, and want to play with it. Until I actually get around to learning how to knit or crochet, working it into my embroidery seems like my best bet.