When I have to quilt thru multiple layers (like seam allowances) I do 1 stitch at a time, also called stab stitch. If I try to rock and do multiple stitches in those bulky areas, the stitches are too big.
Try to plan your quilting design to avoid seams when possible. On my first quilt (an irish chain), I hand stitched in the larger center areas and stitched in the ditch on my machine for the other areas so I didn't have to quilt thru all those seam allowances.
I've also heard if you quilt on the bias, it is easier. I'm grid quilting a table topper (on the bias)right now and it does seem to be going really well. But that may also be the wool batting.