I also have one that I just got but haven't used yet. I would definately send it back. I think everyone with a this problem should write the company. If it's a design flaw they need to know so they can correct it.
I have a friend who just started quilting and bought a mini gripper. She said she can't make it stick at all and it's new. I told her to bring it to me at work tonight so we can see what the problem is before I saw this thread. If it doesn't work I will tell her to contact the company.