I have the Performance 5 and have used 30wt thread. As others have said, I think it's a speed/tension issue.
Although your needle size is good for the thread weight, it's still quite a thick thread. I may be mad, but I find Sulky 30wt quite a 'soft' thread and it may worth slackening your tension in 0.5 increments to see if that makes a difference. If it doesn't, then it's probably speed. Good luck!
