On the Contemporary Quilt Group's yahoo list recently there was quite a bit of posting about couching threads down, with ideas and advice given about different stitches, machine feet, and methods. I had a go, producing this sampler. On my fairly humble Pfaff I don't have to much choice, and find that the piping foot, which has several channels underneath it, big enough for a thread about the size of double knitting yarn to pass through, is the best for stitching down a single thread at a time. I can use zigzag, triple zigzag, and another stitch which does several running stitches on one side then zigzags across once then back to the running stitches. Only one thread can be used as none of my stitches will spread across enough.
The ladder-like yarns at either side of the work are stitched with the normal foot and a feather stitch, which just catches the side threads in and gives a nice fancy line up the centre.
Another foot I have, which has a bit sticking out forward on one side and a bar across on the other, with 2 notches beneath it, can be used with a thread in each notch, and if I am lucky, one in between them (but no notch), and a wide stitch, like the mesh-like one, or the wide W shape made up of small stitches. It is hard to control though, not sure what it is really for.
There are gaps of course where I have not steered straight, but I'm in the process of filling them in with fat stem stitch and knots. With the gadgets I have I shall have to stick to straight or curved lines, and dream about the couching foot with a special thread feed which will take your thread anywhere you choose, and which I can't afford!