If you're using the foot you've shown, you need to set the machine for the spring foot, not the floating, by going into the tools menu.
Also, set the sewing advisor for heavy woven, then test your tension on a sample with the same fabrics and batting. You can adjust the tension up or down as needed.
Some Sapphires have a nasty habit of letting the thread slip off the take up lever. If your machine hasn't been fitted with the new take up lever (it was redesigned to prevent this from happening), then thread the take up lever from left to right.
Good luck!