I also hold my threads both top and bottom until I have taken three or four stitches. If I don't, I get a nest also. If that doesn't cure your problem, try cleaning your machine out completely as there could be a thread caught in the bobbin area or in the teeth area. Re-thread all again just to make sure you have it right. I have on occasion thought I had it threaded properly the second and/or third time I tried it but didn't for some unknown reason. A bit of a brain freeze perhaps? Hope you can get this working soon.