check out this chart.
you can get thin threads (veevus) that will have a high tensile strength. the #/0 rating is usually a reference to the thickness of the thread, or the number of strands of fiber per thread (aka denier)
Generally i'll use 8/0 or 12/0 danville thread for midges. you could use a smaller size veevus for midge.
For instance. On heads on salmon flies i use 14/0 veevus, because it is thin and strong, about the same strength as 6/0 danville. Because it is thinner, there is less bulk, which is what you also want with midges.