and its the case for thinner yarn as well. I use Gazzal Baby Cotton and ithe result is always smaller than the size given in the pattern but I love the result. I saw some are using embriodery threads for making tiny toys as well.
Yes, I used a different thread thickness / wool for the same pattern. If you have doubts that it can go wrong, do it quietly that has always been good for me and it does not have to be bad for you!