Sounds scary! You're trying to help me with machine envy issues, right?
I'll bet you'll get used to it soon. It might be useful to do a small practice piece with no thread so that you can get used to the speed without the thread piling up and catching. When you keep up with the machine, I'll bet that won't happen any more.
If the problem continues, re-read the manual, following each possible change - thread type, threading procedure, needle (type, turned correctly, threaded the right direction?), tension, speed, presser foot, lowering of the presser bar, type of needle plate, feed dogs, and bobbin thread and tension, and if there's nothing else to consider and the problem persists, call the dealer. Good luck!