Have you tried changing your needle? A smaller needle might help, and possibly also a different brand. What brand needle are you using? Needle quality can vary greatly with manufacturer, with some being smoother and others being more rough.
Are you using cotton batting or polyester batting? Polyester has more of a tendency to have this problem. Next time I would advise using Quilter's Dream Request or Select, which is a needlepunched cotton batting that is easy to hand quilt.