Can I use sheathed cable in a surface raceway, and do I need to derate?
Yes, but the derate won't actually hurt.  What applies is the lowest of all the derates, and they are several.  This one is that with 4-6 wires, you derate to 80% of the 90 degree C column of Table 310.15(B)(16).  So your 14 AWG wire must be derated to 20A, and 12 AWG wire must be derated to 24A. 

I'm guessing that won't ruin your plans. 

As far as NM vs THHN, NM takes a lot more space, you run into conduit fill issues sooner.  It's also a great deal stiffer than individual THHN wires. You may think THHN is just as stiff as individual wires of Romex, however they also make stranded THHN, which is much more flexible and easier to work with.