You need to choose the needle for the size of thread that you're using - and with FMQ, this becomes a lot more important that with regular machine-guided sewing.
If the needle is too big for the thread, it can't create a good loop for the hook to catch. The loop has to be big enough that as the hook passes, it passes through some part of the loop. If the loop is too small, the hook will miss, causing a skipped stitch.
If the needle is too small for the thread, it may fray the thread and cause a lot of breakage.