I have that machine and sometimes have had the thump when going over thick seams. As suggested, I would try a different needle. Although they're called quilting needles, my understanding is that the eye isn't all that big and that might be causing the thread breakage. I've seen many suggestions elsewhere to use a topstitch needle so maybe try that. I don't know how sharp a tip the quilting needles have....are they as sharp as a 'sharp' needle? Just some thoughts.
Incidentally, the blue dot bobbin case is mainly for FMQ, which it sounds like you aren't doing. I have it and mostly forget to use it when FMQ and I don't have any problems with using the red dot one that came with the machine. The only difference is the blue one has a looser tension, which you can achieve by adjusting the screw on the red one as well...if you are so inclined.