Two things: First, double check your thread path. Get the manual out and verify it's correct. Make sure that when you put the thread thru the tension discs the presser foot is up (no pressure on discs) and the thread is actually seated between the discs.
Second, are the nests occurring at the start of a seam or while sewing. If it is at the start of the seam, make sure you have a good hold on both bobbin and top threads when you begin. If it's in the middle of a seam, don't unthread immediately, look and see if the thread has jumped out of the takeup lever. I had this problem with my Viking and it was thread-brand related. The thread was a bit too stiff and would jump out of the takeup lever. I changed thread and it fixed the problem.