I use connecting Threads Essential thread cones, the polyester. Seems to work well. Initially, I had problems with the actual quilting. It turned out that the bobbin case was defective.
Other thoughts:
1. Make sure your needle is in straight - straight is important - and has no burs.
2. ensure bobbin tension is set correctly
3. Check that you have the machine threaded correctly. I spent hours trying to fix a tension problem one day. Next day, I went to my machine to do battle and immediately noticed that I had not threaded it correctly.
4. Try a different spool of thread. Sometimes we get a bad spool....
5. Check the timing. I have never personally checked the timing, but the Q'nique 21 manual has instructions on how to check it and set it.