Pat, I'm sitting here trying to thread a Baby Lock companion intel-a-stitch 7500, and I think I can help with the needle threading step since I just did it.
The trick seems to be that when you pull the thread across the needle and below the little hook peeking through the needle hole, you need to push the end of the thread *hard* toward the back of the machine. Keep pushing until you deflect the needle a tiny bit, and you will feel the "click" as the hook finally grabs the thread securely. In fact, you will likely have to push the needle threading handle back up. If it is just returning to the top on its own, you haven't pulled the thread hard enough against the needle.
I hope that helps. Now if you can help me figure out how to get the upper thread to pick up the bobbin thread, I'll be very grateful. There is nothing moving down there where the bobbin is, and the bobbin thread is not being carried anywhere. It just sits there when I press the needle position button.
RonCraig007 at yahoo dot com
Ron Craig, December 2006