I do have to say that Poly thread (not nylon) is very fine and quite soft. I too did not adjust any settings to my machine either and didn't have too much trouble at first. I think part of the problem was when I hit the middle section of the bobbin, I think it was wound too tight and that started the problems. I don't have a speed setting on my machine (just have to go real light on the foot pedal) and the intructor mentioned that you want to wind your bobbin very slowly. I did the best I could but it got going fast a couple of times.
I don't really know what set off the problem of the thread coming off the spool and pooling on the peg. That is either related to the tension in the bobbin with the thread being too tight or completely unrelated. Not sure??