There are only three stitches, cross-stitch, running stitch and zigzag stitch. In 3 different sizes. They're already set up so that the angle follows your direction. If you don't want that then just turn off Angle in Shape Dynamics.
I made this in Photoshop CS, so I dunno what other versions will work with it too.
Inspired from a tutorial at --> [link]
And this is my first PS brush on DA so it's a small start.Edit
: Changed the preview image.