Yeah, linen is best because it's tough, but won't stretch like nylon. Be sure and wax it (beeswax). I use a saddle stitch almost exclusively.
And most of the time an overstitch wheel is priceless. When running it over the rough side of leather though, the marks will disappear as you wrestle with the leather. On the rough side I like to follow behind it and use a fine-point Sharpie to add a spot of color each place the wheel contacts. The finest available from Tandy and most sources is a 7 lpi. That's fine for most things, though smaller definitely has some "cool factor" going for it when you've got your awl work down pat. Originals went as fine as 12, but I doubt I'm up to that. I am about ready to look for an 8 or a 10, though.
You might not be ready to try it right away, but I've found that adding a welt makes for the strongest possible seams. TC's book tells you all you need to know about them.