Never tried embroidery thread for wrapping guides but I've cross-stitched about a dozen projects with floss that comes in loose loops of 6-ply thread. I'd confirm that the thread you have is only one ply.
I expect that any thread that can survive sliding through a tensioner and make tight wraps around a rod will work. I don't know how it would take color preserver or finishing varnish/epoxy.
If you really want to use up your embroidery thread, experiment with it to see if it makes a tight wrap, and experiment with color preserver and finish to see which selection color matches the thread on the other guides.