I've been quilting with a Juki (first a TL98Q, and for past year, a 2010), and have not experienced the problem you are describing. The settings posted above might be a little off for this model of Juki. You have the single hole plate on (there isn't a zig zag function on this machine). Thread weights depend on how you want your quilting to look, but as Pat mentioned, the needle has to be the right size for the thread. When I quilt with a 40 wt thread, I also use a 90-14 needle. A stitch length of 3-4 might be a little long on the Juki; I usually set my length to about 2½ when using a walking foot. As others have said, I also usually have my presser foot pressure almost all the way at the top. Both the Juki machines I have used needed to be set there to work well when quilting multiple layers.
So... the one thing that I am wondering about is if you are installing your walking foot correctly with the "little forked lever/bar" around the needle set screw head. It has to be put on this way for the walking foot to function properly, and seems like it could cause the sort of problem you are having if it is not. I couldn't find any pics on the web of how this should look, but if you need one, I could take a pic tonight.