Odd smell coming from the machine?

I've been noticing something weird with my machine as I've been sewing. As we all probably know Joann's is gone now so that has pretty much killed anywhere to get thread so I've been forced to use this horrible rough cheap thread from Walmart. As I use the thread I've noticed an odd smell coming from the machine that smells kinda like the smell dust gives off. I'll admit after a bit of sewing it gets to the point where it actually makes me sneeze and cough a bit which has me a bit concerned...