Do not use a thread
You will be better off using paper clips . This is what I did:
Made 3 envelopes:Sponsor docs/forms;applicant docs/forms;proof of relationship.
Put all the photos, tickets, call logs, emails etc together and try to make sure they are in chronological order to show the "progression" of your relationship with spouse if you knew each other before marriage. I had a huge pile of pics of before and after marriage, so used paper clips for individual pics and then a big binder clip to separate one section of my pics [eg before marriage] then did same for after marriage.