I have heard of stump work, but I don't think I have tried it yet (unless raised embrodiery is a form--I'd have to check).
My serger has 4 threads. It came with a video showing me how to thread it (also, the parts are color coded so you know which part goes with which thread). A pair of tweezers is your friend! Also, natural light; I can't really see to rethread mine if it's dark outside, even if I have every light in the kitchen on. As to the tension, I have to admit, my machine marks standard tension and I set it to that and I leave it alone! I never could get the threads to look exactly howI wanted them to, so I gave up and left it alone.
Also, I don't try and serge and sew in one motion. I was once one stitch away from putting the bunched-up middle of my dress through the cutter, so I quit doing that. Now I just serge raw edges and then sew my garment up on a machine. This allows you to undo your mistakes! It also makes the tension issue more or less irrelevant since it's not holding two pieces of cloth together.
I once bought a skirt from Ann Taylor that had a serged-and-sewn seam and the seam pulled apart some because either the tension had been too loose on the stitches, or they had been too far apart. A mistake I am much less likely to make on my sewing machine which I can customize easier.