I'm not familiar with the Juki, but something I've found to work very well is to make sure your foot is just barely touching the top of surface of your quilt. Not so far down that it impedes your movement, but just above that. I have found that if my foot is too high above the surface of the quilt I have a horrible time with thread shredding. Once I figured that out, it very rarely happens to me and I use all kinds of threads. I don't know why it matters, but I think it must have something to do with how the thread gets pulled against the eye of the needle. Needle size/thread weight relationship can make a difference as well as weights of top and bobbin threads, and of course tensions. Hope this might help.
Edit: I'm assuming you were speaking of FMQing...