Bolt-ropes are sewn on in a paticular way. They do not attach to the edge of the cloth, but actually lie ON the cloth. On square sails the lie on the forward face of the sail so they are less apt to rub on shrouds, etc behind the sail.
The stitching that holds them to the sail comes out of the sail, goes over the edge and into the bolt-rope, through the sail, and goes around again and through the next strand over. In reality the thread goes between strands and through the third, then into the sail. Going through one strand isn't critical on a model. The stitches advance along the sail with the lay of the bolt-rope so it buries itself in the lay of the line. I skip 3 or 4 rope strands, where-as the real thing is stitched in every strand of the bolt-rope. That's totally up to you. The real thread is waxed flax, heavy and doubled. On a model, one strand of light thread should be scale enough. Pull it snug in the direction you're sewing towards, not back where you've already sewn or the sail will draw up and kink. The sail will pucker a little into the lay of the rope - that's fine and as it should be, it wraps the sail around the bolt-rope. Every so often, a few turns are made, a whipping, typically every yard or so, on either side of grommets, eyes, and the like. These serve as pull-stops. If the stitching should break somewhere, being a whip-stitch it'll easily pull out, the whippings try to keep it from pulling out too far. This obviously isn't critical on a static model, but it can be seen if you look at real sails and besides adding a touch of realism, is a good place to start a new thread because the whole thing doesn't have to be done with one length of thread.
I make cringles and eyes for my RC model's sails by taking a turn around a rod of the right diameter, like toothpicks, and whip it at the overlap. The real things were usually spliced in. That can usually be represented by just whipping a join of two ends of the bolt-rope with enough overlap for the eye and whipped at either end of the eye. In the pics, note how the stitching disappears into the lay of the bolt rope on the front of the sail.
You need to hold out the sail and the bolt-rope as you sew it, don't stretch them, just keep some tension on both.
My sails tend to be a much larger scale (1:36) than most models here, but with some good magnification, it's not difficult to do. I find it easier to insert the needle between strands on the front side, through the third (or not, it's your call), into the sail, snug it up, move 3 or 4 strands over, and do it again. I reinforce my bolt-ropes with fabric glue as they are working sails