If you are doing it by hand use an embroidery hoop so your stitches are even and the fabric doesn't bunch up. If you are using your sewing machine (if it has an embroidery setting) you can use backing to stabilize the fabric. There are different kinds and weights for backing, you might want one that dissolves in water or that rips off easily once you are done.
Other than those basics I can't think of anything specific. You might find some useful info in this thread too: http://www.cosplay.com/showthread.php?t=297162
EDIT: OH, and there are threads made specifically for embroidery. It's usually called embroidery floss.