Are you sure that the presser foot is in the "up" position when you thread? One of the most common causes of this problem is having the presser foot down when threading, in which case the upper thread does not seat properly between the tension discs.
Here is a link to the threading diagram:
http://www.sewusa.com/Threading_Diag...ng_diagram.htm
There's a free operational manual available for download here:
http://www.manualowl.com/p/Bernina/B.../Manual/118055
Edit: Checked the free manual, and it looks like it is generic and not very helpful. You may want to purchase a manual specific to your machine. Usually they are available for sale online or on eBay, or you can order from your sewing machine dealership.