What types of thread are you using? Very rarely have I had trouble with thread in any of my machines but sometimes when embroidering I have noticed some thread has almost stuck coming off the spool, it could be the spool has a burr on the end that the thread runs off from? Some companies make a slice or something to hold the thread in place when not in use and that can cause headaches if the thread catches. Try a mesh spool cover over the thread and see if that won't help?
Good Luck
Suzy