Wally World gets the dregs of the coats and clark stuff and the worst of the rest of it. Yeah the cost is attractive and Coats and Clark is a well respected brand. But use the best if you can. If you are just stitching straight lines for practice then eh... maybe the cheap stuff is ok. But otherwise use the good stuff.
A lot of the merchandise Wally World sells from vendors like Coats and Clark would be seconds in other markets. But Wally World buys the "brands" that people want and figures it's good enough to get by. I have to travel 20 miles to get to a sewing center so WW gets a lot of my business by default. But if you have the luxury of a fully stocked sewing center close by make it you place to go. It's worth it for the difference in quality.