The eye of the needle might not be big enough for the thread you're using.
Try a topstitching (also known as a "Metallic" ) needle, or if you don't have a topstitching needle around, try the next size bigger of a regular sharp. If that helps but doesn't eliminate the problem, use one size again bigger.
Your tension might also be a bit tight. Loosen the upper tension on the thread a little at a time until either the problem goes away or until you start seeing gobs of loose thread on the back of your practice piece.