could you be using the wrong type/size needle for the thread you are using?
i've been quilting for a number of years now and have found that polyester or a blend thread works much better than cotton thread (the machines go too fast for cotton thread) cotton is fine for hand quilting- but for machine quilting---not so much
and if your needle is not the correct size for the thread it can shred/fray your threads.
i generally use sharps (sometimes a universal) in the size necessary for the thread being used-
if you are unsure about thread/needle sizes/types/uses visit the Superior Threads web site- they have free charts you can print off that tell you about all the different threads, different needles- what they are best for- and the sizes to use for which threads.