I rarely switch out my needles depending on type of fabric, only the length of time in use. When you say it came un-threaded, was it the whole line of sewing or just at the beginning or end? If the whole line, you might need to rethread the top thread or sometimes I have to pull out the bobbin and try inserting it again. It usually means your top and bottom threads aren't in sync and not creating a good sewing loop.
If it just came a little unthreaded at the start/end usually you have to either go forward then reverse stitch, or start off with 0 stitch length let the needle go up and down, then move your dial to the correct stitch length. It sort of puts a holding stitch so it doesn't unravel.