Sue,
More than likely you've done nothing wrong. It is a system issue. Clean out the yuck and the primary filter you described. Read my post on page three regarding the Dirt Devil Bag. Here is the deal in a nutshell.
*I put one layer of Gorilla tape (Duct tape would work) around the plastic connector that holds the bag. I had to remove my box and connector out of box due to the location of my box. This tape simply makes a shim to make the bag tighter to the connector. MAKE SURE YOU HAVE THE BAG COMPLETE ON THE CONNECTOR.
*Use the new white replacement bags. I'm being told the bag connector area is more "robust" and the bag is made from a more plyable material. CW or order online for new white bag.
*Puff the bag before you install so it's not such a big deal when you install the new bag. (initial puffing with air moving through it sometimes shocks the bag off the connector on start up after bag replacement-bag shapes to the inside of vacuum box)
I had to learn this the hard way, no one seems to know anything on this issue at Dirt Devil, yet everyone you ask has had this issue. HTHs. Tom
On Edit:
P.S. I personally have not used the white bags. I have about 10 of the blue ones and too cheap to let them go!

I have had no problem with them using the Gorilla tape mod. and installation procedure I just described. Tom