Are you using an older spool of Coats & Clark, the style with the ridges around the edges? If so, that can be part of the problem. If you do use them, they work better in my Sapphire if I keep them horizontal and use the larger donut shaped thing to hold the thread on. It directs the thread away from the edges. Also, remember on some of the Vikings that there are 4 heights to the presser foot and if you don't have it all the way up when pulling the thread out, that thread will not move!
What size needle are you using? I have good luck with a 14 using that brand of thread. If you find that your machine just doesn't like it, try Aurifil. Mine loves Aurifil!