When you are ready to sew the diagonal of the triangle, put the needle in a few stitched down the seam. Hold onto the ends of the thread and push the reverse button. The machine should go back to the edge of the fabric and then forward again. Keeping hold of the threads will help keep the corner from going down into the bobbin housing.
Another thing I do is to send the triangles in one after the other in a line of continuous sewing. This also helps keep the corners from 'diving'.
Finally, use a needle that is sharp and a little bit on the fine side - size 11 or 12 usually work well.
Hope this helps, Gwyn