Maybe you need to use a bigger needle to get through the thicker seams. I like to use a size 90 for quilting :D:D:D
Also, on my machine (don't know if your's is the same) there is a little metal piece on the threader, that pokes through the eye of the needle. The thread has to go underneath that piece, and then lightly hold the thread around and behind the needle, not to the side of the needle :D