I have several coon that I had tanned a few years ago and I'm thinking about making them into hats. Anybody have experience doing this? What size needle and thread do I need?

I think this is covered pretty good in the fur handling forum .

Start off with good quality #5 or #7 glovers needles.Upholstry thread is strong and nice to sew with.When they get dull discard them.Good quality english or german glovers needles last much longer than cheap chinese ones
Use a whip stitch so the seams lay flat and dont show on the fur side.
When cutting tanned fur,mark the leather with a pen,and cut with an exacto knife.Never use scissors to cut fur or you will cut the hair.When cutting with the exacto knife,lift the pelt off the table and hold with one hand while cutting.This way you will only cut the leather and not the hair.
Start off with something small like a fur pouch,then try a headband,then you can do a hat once you master the technique.Keep the stitches even-this will come after a bit of practice on the small stuff.
Sewing fur is a very enjoyable,rewarding profession.

This is the stich I used to make a coon skin hat .