I should also mention that I bought a cool little magnetic LED light from Artisan that I have attached very close to the needle. I had to have one after I saw Outrider's. I have also bought thread from Ferdco when I was using a Tippman Boss (boat anchor) that works very well in my Cobra. Ferdco carries Poly thread. Steve recommends, and carries, nylon thread, but the poly thread works just fine.
If you choose to use the nylon thread that Steve recommends, you may want to consider picking up a wood burner. It works well to seal the last thread. With poly I just tucked the thread back into the hole and it never came out, with nylon thread the tucking method has not worked as well.
One other trick that no one bothered to tell me until I was talking to Outrider. Run one size smaller thread in your bobbin. If you are using 277 on top, use 207 for the bobbin thread. This method will save you tension adjustment headaches.