Does it jam when you are just stitching two pieces of fabric together also? Or is it only jamming when you are trying to quilt? Are you using a walking foot?
Lower-end machines tend to be fussier. A few things to check in addition to what has already been mentioned: be sure to hold both threads ends when starting, start sewing slowly, be sure you have lengthened your stitch for quilting (the thickness of the quilt requires a longer-than-normal stitch length), be sure you have lowered the presser foot (easy to forget with the thickness of the quilt).
If you do all of that and still have a problem, take a look at the bobbin. Unevenly wound bobbins can cause jamming.
By any chance, did you change the bobbin before starting to quilt? I had this problem with a machine that had worked perfectly before; turned out a very similar-looking bobbin to the one the machine needed had been mistakenly inserted. Many plastic bobbins look alike but have small differences that can mess up the thread.
As others have mentioned, an incorrectly inserted needle, lint in the machine, and incorrect threading can also cause this.