Are you zig zagging the edge of an appliqué down onto background fabric or zig zagging the beginning of a seam together? If you are having trouble with the beginning of sewing 2 pieces together, you can start stitching about 1/4 inch in from the edge, reverse to the start and then proceed and see if that helps. If you are doing the satin stitch on appliqué, try a stabilizer under the background, bring up the bobbin thread before you start zig zagging and hold the threads as you begin sewing.