I do quilt with a Gammill and here are a few things I would try:
1.When you have the bobbin case out of the machine, look into the area where the bobbin case goes. Can you see the needle eye? You should be able to just see the eye of the needle. You should not be able to see any of the needle above the eye.
2. Make sure the scarf of the needle is facing to be back.
3. Turn the needle very, very slightly (so if you were looking through the needle eye you would be looking at "2 minutes to 12) To do this I put a long quilting pin into the needle eye and very slightly turn the head of this pin to the right.
Please let us know if you get it to pick up the thread.