First thing I would check is both upper and lower tensions, per bearisgray. As Tartan mentioned, stitch length can be an issue.
What brand and type of thread are you using? Polyester thread can cause this problem, especially if you just switched from cotton thread, as polyester thread benefits from a looser tension.
Other possible causes are a bad needle (try a new one), the wrong type of needle, and the wrong size needle for the thread you are using.
Definitely fix the problem before proceeding, as this is not something that will "quilt out" later.