I owned a Gammill Classic Plus for 14 years. The thread my dealer suggested was the "A & E' Perma Core- I bought in 6,000 yd. cones, but it is available in 3,000 yd cones. It is Polyester wrapped polyester, TEX 30.
Never had a problem with it that wasn't 'operator error'.
From experience, you may need larger size needle, re thread- don't just tie another thread and drag it through as it may be threaded wrong. Your tension maybe off as others have suggested.