Do you carry embroidery thread / floss? Or can your yarn be split into individual threads for embroidery? (I don't really understand the difference between embroidery thread and knitting yarn / if there is one)

You'd have to call and ask if they carry embroidery floss I don't believe they do. Embroidery floss is thin and spun to be that size. Knitting yarn is spun to be its own size and has different textures. The michaels on 6th Ave or the Blick on 6th Ave have good selections of embroidery flss though.

My suggestion is to call the store to be certain if they carry embroidery threads. Wool & thread are not made for same purpose, therefore shouldn't be used interchangeably.

I think they carry embroidery floss but I'm not sure. You can call and ask. Yarn typically can't successfully be split because of the way it is spun.