Some fabrics, such as knits, just seem to hate being stitched at all. They almost actively resist being forced into a seam. For these kind of fabrics, sometimes you have to break out the big guns. Sometimes you have to double-stitch a seam.
This is actually quite simple, though a little annoying. Start with a plain seam, but do not press it open. Instead, stitch another row about 1/4" from the raw edge of the seam allowance. You now have two lines of stitching.
To finish off your seam, you actually have a few options. You could just leave it. I don't, but you can. You could trim the remaining seam allowance to about 1/16" from the second row of stitching. You may use pinking shears for this, as I do, it just cut it straight. Your final option is to add a line of zigzag stitching after the second row of straight stitching. All if these will work for your double-stitch seam.
This is a common seam for heavy weight fabrics and knits, but it's not recommended for lightweight fabrics.