is the machine new?
i ask because my 8 year old machine is (starting) to at times have the thread jump out of the tension disks- i had it in the shop- they said the disks are becoming worn--
if it is new- i would expect the disks to be new too- so would think it is a threading issue- get your manual out and follow it closely to make sure you are getting it threaded correctly- and if you are still having problems call the company- most of the machine companies have very good customer service/tech support--who can talk you through all kinds of problems over the phone