If you are using a natural batting like cotton, wool, or silk there is right/wrong side on the batting. Just remember bumpy side up. If the smoother side is up you will get pokies like this.
Until the quilt has had time to "relax" or washed you will see needle holes.
If you are using a poly batting then I would suggest changing the needle. Poly doesn't actually have a right or wrong side to it but when loading the batting I still feel to see if one side is bumpier or rougher than the other. If so, bumpy side up.
Hope this helps.