Hi RitaFaye,
Make sure that you have a sharp needle. This happens sometimes with sheer fabric. It is good to use a stabilizer to sew with sheers, this can be simple freezer type paper.
Also, some have mentioned using a single needle hole. I have not used one for many years. I like to be able to adjust my needle position so need a different plate.
The best way to avoid this is to simple use a leader cloth. This helps with the fabric pulling, the threads that you have, and make sewing chain style from block to block a simple task.
Also, another tip is to make sure that you have a hold of the upper and bobbin thread. By pulling the bobbin thread up, you then have a hold of both of the threads and then gently hold the fabric and guide it as you begin to sew and that should help.
Pam M