A local Janome dealer sells small spools of Aerofil by Madeira for $1 each. I've had great results with it. For the longest time, I thought people on here were spelling it "Aurifil" and were raving about the Aurifil. I had believed I was scoring a great bargain on one small spool of high quality thread. Turns out, I am. But it's not Aurifil. It's AEROFIL by Madeira.
My guess is it's your tension too high or your needle eye too small . What size needle are your using?