The manual is most important if you do not have one. But there are some "rule of thumb" you can check.
1. Are you using the correct needle. Most longarm machines use an industrial needle. The shank is round instead of flat on one side.
2. If using the industrial needle, is it inserted correctly? Industrial needles have a long "scarf" on one side. The needle scarf goes to the front of the machine. (exactly the opposite of domestic machine.) In a longarm, when getting breaking thread you can turn the needle just a hair right or left to make a good stitch. (the needle eye would be at the 5:30 or 6:30 position)
3. Do you have the correct bobbin for the machine?
4. Do you have the bobbin in correctly? On my hq16 the bobbin unwinds counter clockwise (opposite of a domestic machine)
5. With the bobbin in the bobbin case, lift the thead up, your bobbin case should stand up and come out of your hand but crawl down the thread much like a spider and it's web.
6. Loosen the needle tension completely, holding the thread thru the needle gradually tighten the needle tension until you get taut resistance.
But first and foremost, I would give the machine a very complete cleaning and oiling. If possible, take the needle tensioner apart and clean the discs very well.
I have heard good and bad reviews about the Viking Mega Quilter. You might try calling Viking and see if they might be able to give you a bit of help too.