I had the same problem with wool breaking, both with crewel.embroidery and with needle point. With Wisper threads (furry), the company recommends all your suggestions, bigger needle, Thread Heaven.
I would add shorter strands (they do get thinner as used) and a needle threader as well.
Any traction on the floss/thread pulls the wool.apart, it seems.
I do think Riolis kits are gotgeous, but learning Russian is not on my schedule. Ever.