Are you going all the way around your loom and stopping at the side thumb tack? If not, you may be getting holes because you aren't stopping in the same place each time around.
A good thing to try is to mark the top of the first peg with a black magic marker. When knitting, start at the markered peg and stop at the peg right before the markered one when you get around. Wrap your working yarn around the side thumb tack and then knit off the stitches. Then repeat around starting at the markered peg.
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