There are many possibilities for what could be causing it. Here's a good troubleshooting sheet that I use when that has happened to me:
http://www.generations-quilt-pattern...en-breaks.html
Also, a bead of Sewer's Aid on your spool of thread can sometimes help. It's available at JAF. But I agree with the others that for a sheet, I'd switch to a Top Stitch size 90/14.