Functionally, it would probably work fine.
Aesthetically, it has a high likelihood of looking like crap. Not only do conventional threads have the potential for fuzz, they are also sometimes treated with a sort of lubricant so they flow throw sewing machines properly. This does not play well with epoxy finishes.
Also, your overwrap idea is not likely to produce the desired look.
Use a proper rodwrapping thread and save yourself the frustration.