Are you using a low loft batt? If so, what fabric did you use for the quilt? Sheets used as backing can be very difficult to quilt through as the weave can be really tight.
I use and love Warm and white/natural, Heirloom cotton, all low loft, and find them easy to quilt through. However, I think they are thin.
Cotton is harder to quilt through, poly is supposed to be much easier... Wool would be a good choice...heavier and warm.