Thread in your Machine
Often times thread can find its way into your machine in the strangest places. The hand-wheel is close to the spool pin. If you have two spool pins, chances are you may leave an extra spool of thread on it. If a tail from the spool slips into your machine it can suck a whole spool into your machine. This can cause may issues with you really noticing that it magical disappeared. So if your hand wheel is tight, and your are missing a spool of thread this might be your problem.