I use either a topstitch or a denim needle -- depending on the thread a 12 or 14 usually works well. I have used the c&c poly and found some colors are fine and some shred, but that has also happened with other brands as well (sulky comes to mind). As has been mentioned, if you have a spool that has a notch, try turning it over (or putting a cap on it) so the thread does not get caught in the notch.
Also, is your spool verticle or horizontal -- different types of spools are made to pull off differently so make sure you are pulling it off they way it wants to go.
Here are some other things that I have had happen -- I found going slower helped with these:
-- the thread jumped out of the tension disks
-- the thread jumped out of the take up lever