I tried the Sulky 40 wt and it was a pain. It kept shredding and breaking..Beautiful thread, just too soft.
Later when I used on my tabletop machine, I found I was having the same problem. Even after changing the needle to a bigger eye.
I found that by slowing the machine down, I got better results.
I like using a finer thread on the bobbin - if you use 40 wt, it runs out way too fast because it is so thick. The finer threads, Bottom line, Masterpiece etc last a lot longer and come in cool colors.