You probably do need to change your needle, but I'm not sure that's causing this particular problem. I don't know about needles from your Bernina, but I do know that I would never use needles from my Janome in the Sweet 16. I do change the needle about every other quilt, and you do need to match the needle with the thread you're using and use a needle made for the Sweet 16.
When I first got my Sweet 16 I didn't realize how much of a tug it needed to floss the thread in the tension disk. You really have to pull very firmly until you feel it click into place. Once it's clicked into the right spot, at least for me, it would not come out unless I pulled it out. Is it possible you've got your tension set very loose? It could be so loose that it's not holding onto the thread.
If none of this helps, you can adjust the position of the needle. First make sure it's in correctly, with the little cut out facing the back of the machine. The eye should be at the six o'clock position. Insert a second needle into the eye of the first needle and turn it so that the eye is at 5:30 instead of six. My dealer recommended this and it helped.
I'm sure other more experienced users will chime in. This is just my two cents.