I had this problem last week with my Tin Lizzie, didn't matter what thread I used. The dealer talked me into buying King Tut (sooo expensive) but didn't solve anything. Then I realized I was using a thinner batting and thought to let the foot down a fraction more - it worked! Haven't had a broken thread since. By the way, I'm quilting with machine embroidery thread on top for this quilt and all is well.
Yes, you are right! The manual for Q'nique recommends putting the equivalent of eight layers of paper (I stapled 8 small posit notes together) under the presser foot and lowering the foot attachment down until it touches the paper and then tightening up the attachment before quilting. I check this before each project since I use different battings.