Keep trying! It can take quite a while of practice to get the hang of it. Then one day, all of a sudden it will look fabulous! LOL
You may be moving the quilt too quickly, which can result in breakage. Another thing I came across recently is that when my spool gets low, sometimes the thread doesn't want to pull off as easily. I turn the spool the other way and it works better. I think it was getting caught on itself when it pulls from inside of the spool.
Some people have good luck leaving the feed dogs up. Mine doesn't work well that way. I'm guessing it has something to do with the amount of pressure on the presser foot (automatic on my Viking Sapphire). I could probably go in and change the settings, but it works fine when I drop the feed dogs, so that's what I stick with.