It really makes a difference to match the thread and needle and hole size.
I found this diagram somewhere, copied it down, and let me put it here, too
John James Needle
size
Length
Outside diameter
Ritza “Tiger” thread
LIN Cable
4
004
48 mm
.9mm
0.6
532/632/832
2
002
54
1
0.8
432/332
0
1/0
57
1.1
1
00
2/0
57
1.3
1.2
000
3/0
62
1.6
What is the table telling me?
If I am using 3mm stitching irons on my thinner leather project, the best results are using a 004 needle, with the corresponding thread.
If I am using a thicker thread (like those Maine threads), then try a 1/0 or 2/0 needle, with a larger stitching iron (5mm works well, 4 maybe)
I used to have that similar problem until I figured it out.
So you should get a few packages of needles (they're not expensive, after all) to match your thread sizes, and using a stitching iron to match.
I have a set of 3mm and 5 mm diamond (Japanese style) stitching chisels, which are my go-to sizes.
I have a set of 4mm stitching irons (French or slit style), too.
I have a few remaining Tandy "Big Eye" needles, which I keep around for nostalgia. ;-)