I am relatively new to machine embroidery, and have had that problem with just about every single piece I've tried to embroider - until I read a tip on this board. The poster suggested that if all of the other suggestions failed - rethreading machine/bobbin, wasting several yards of thread being used, changing needle, etc - try using a top stitching needle instead of one made specifically for embroidery. I've not had the thread break since!!!