Advice needed on thread choice and pinking shears

Hi All, I was wondering whether anyone could advice me. I know that you need to use polyester thread for poly cotton garments however some threads seem to leave quite a hard little edge which is a problem particularly for a bodice. I'm not sure if I have particularly sensitive skin .Does this affect anyone else? How can it be avoided. it doesn't seem to depend on the quality of the thread as this seems to happen with expensive threads too.In fact I tried lots of threads for comparison and the one which was least scratchy seemed to be the uber cheap all purpose I don't like to use in my machine because I'm worried about all the fluff messing it up.Off course it's mainly on the zig zag stitch but I need this to finish the edges as my pinking shears are rubbish and just shred the garment. Oh actually. I need to invest in some really good pinking shears. Any suggestions? I paid £10 for the pair I have so I expected them to be ok so I 'd rather not waste any more money and just get a really good pair even if they aren't cheap.