The last time I went to my LQS and grabbed some thread they advised me to grab different thread as they had complaints that it actually caused problems with the machine. And when I say problems, it sounds like what you are having. Is this thread a standard size spool? Do you have it on a cone thread holder? I changed my mind at the last minute and grabbed different thread but they said to make sure if I ever used that thread to do so using a cone thread holder because sooooo many people had problems with how it spooled off. It knotted, broke, or came unthreaded repeatedly. Try a different thread. It is possible it is nothing you are doing or not doing.