Two more things:
The thread may not be any good. Take a 12" or so piece, wrap one side around your left forefinger, wrap the other around your right forefinger and see if you can break it. If you can, then the thread is no good.
If your machine has a speed control, put that at half speed and then put your foot pedal to the medal. Keep your foot all the way pushed down on the foot pedal. That way you are keeping a constant speed, even though it might seem slow.
We would love to see what you're doing if you get a chance to post a picture. Good luck with your quilt. :)