The benefits of having high thread count sheets is that mills are forced to create much finer threads in order to increase the amount of threads in a square inch (keeping in mind that they don't also increase the ply).   Finer threads usually result in a much smoother and softer fabric.  This is the main reason that a higher thread count fabric is more desirable than a low thread count.  Having finer threads also means that the threads are slightly more delicate so one must use proper care instructions when washing their linens.

To summarize it all you have to find a balance between the thread count and the ply. If you're looking for the ultimate in softness then a 300 thread count single ply would be perfect as they offer good quality and are soft and durable.  If you prefer a heavier warmer set of sheets which you want to last for years to come then a thread count between 600-1500 single ply is for you.