Good advice from PaperPrincess. To this I'll add, rethread your machine, put in a new needle, try a needle with a larger hole, make sure your thread is coming off the spool easily, and if all else fails, put your thread spool in a coffee mug. Sometimes thread just gets too hot being fed through the many places it has to go. If you can put it in a mug, and then thread the rest of the way, it might not get as hot and not break as easily. Also make sure your thread isn't "shop worn" old thread that breaks easily.