Well, I still can't figure out the problem. Maybe someone out there can see what is going on and help me. Here is a picture of what the thread looks like when it breaks. Something is causing the thread to shread. The bottom of the picture is the bottom of the thread and the top is the top of the thread. Do you see how the thread is getting pulled apart, not just broken? This is so weird. It doesn't matter what thread I use in the machine. It doesn't matter what needle I use. It doesn't matter which way I put the needle in. It doesn't matter if the needle is in straight or twisted a little or a lot. It doesn't matter the speed of the machine, the speed I'm moving it on the frame or the direction I'm moving the frame. I've adjusted the tension from nothing all the way up to the tightest it can go and everything inbetween.
I bought every kind of thread JoAnn's had yesterday and today will try the quilting store to see if they carry a cotton 40 weight machine quilting thread. I shouldn't have to buy a specialty thread that costs a zillion dollars. At least that's what everyone is telling me.
I'll be calling the place I bought it from this morning at 9:30 when they open to see if they have any other suggestions, but in the meantime, if you can think of why this is acting up, please let me know.