While it may seem that a two-ply bed sheet would be a better choice with the greater number of fibers it contains, this isn’t usually the case. Two-ply sheets are often rougher and less durable, as cheaper materials are typically used. Focus more of your efforts on finding the right material and weave, but do try to stick with one-ply sheets.
The two things to consider when looking at a sheet set are 1) the material it is made with and 2) the weave or knit style. Materials are the fibers — raw materials not formed into fabric — and weave or knit as the form of construction used to make the fiber into a cloth. The same material can feel different depending on the weave or knit style, and the same weave or knit style can feel different depending on the material.