Are you (1) pulling the bobbin thread to the stop before starting to stitch, and (2) holding on to both threads ends for awhile when you start to stitch? If not, that could be the problem. You have to manually take one stitch in order to draw the bobbin thread up to the top, then hold tightly onto both top and bobbin threads before starting.
You can also try it with the feed dogs up. Some people find it easier to control the stitching on a particular machine that way (even though it's free motion with a darning foot).