I've done a couple quilts before, but they were machine sewn. I've done enough hand sewing to have a few thoughts about your project.
Skip this part if you want to experiment. Sometimes it's fun to just learn as you go along.
A few thoughts:
A couple pieces of equipment might be helpful. I don't think they're too expensive. The first is a thimble. I saw one on Amazon for under $2. It's a metal piece to put over your finger to help push the needle through the fabric because you're right, poked fingers are no fun. I just picked the cheapest one. You might want to look for one you like.
The other thing that might be helpful is a set of needles of different sizes. About $2 on Amazon. The right needle for the right job makes all the difference. You want a needle that is right for the fabric. If the needle is too thick, you're fighting the weave of the fabric. It's easier if you can go between the weave of the fabric.
This part is a bit advanced, so you might want to skip this paragraph. I've seen hand quilters use a longer needle and sort of weave the needle back and forth on the needle with the fabric still on the needle until they've done 8-10 stitches or so, then pull it through. Keep in mind those stitches are tiny, However, if you use the needle that is too long, they're easier to get bent and mess things up, so you have to weigh how you want to go with that.
The other piece of equipment is a piece of beeswax. About $2 on Amazon . The beeswax is to strengthen the thread and to prevent knotting. As you've found, thread tangles easily when you're hand sewing. Sometimes detangling can lead to weak thread and breakage. The beeswax helps to strengthen the thread and prevent tangling. You run the thread through the groove in the plastic and over the wax. You can do the same thing with just a piece of wax as well, but candle wax is harder than beeswax.
Your stitches look a little big. It may just be the picture. 8-10 stitches per inch is super tiny. If you look at some stitching on your clothing, it should be about that size. Depending on what you're going to do with it, it might not matter. If you're going to stuff it with batting, the batting might start to poke through the gaps, and it might pucker a little. If you're not going to use batting, it might work.
You're not at this point yet, but something that helps a quilt piece look good is the flattening or ironing stage. Once you're happy with how the stitching turned out, you're going to want to flatten the seams. You can finger press them open, but an iron is better. Lay the pieces with the right side down, open the seam with one edge on each side and press it open.