I don't really think you need to use it until you start tying 1/2 or 3/4 oz bucktails. I've never tried GSP. I tried Kevlar thread and it's fine but the color bleeds and is expensive. I use thin superglue that essentially coats all of my thread in hard plastic to stop from getting cut by saltwater fish. It only takes one knick in the wrap. Epoxy works too but doesn't penetrate as well and yellows over time. UV cure is probably a good option.
As for tension, when you start tying big jigs the way I do - absolutely. The first 3-4 wraps really hold it in. They must be very tight. If you tie by adding small bundles over one after another you could probably get away with less tension, but I do two clumps, one on top and one on bottom. Mainly for speed and efficiency. If a few hairs start to come out then that leaves a gap for all of it to come out.
Size A Danville is a little thicker than 210 flat waxed nylon. They both look the same - flossy and strandy. Size D is still nylon (they probably make other kinds) and is a strand 3 braid which makes it rougher and grabs the slick hair better.