Claudia, I've bought boiled peanuts that tended to stick in their shells, but I have not had this happen when fresh boiling my own.
If you have a consistent process when boiling peanuts then only variable can be the raw peanuts themselves.
Are you boiling green peanuts or dried raw peanuts?
I imagine for a boiled peanut to stick in it's shell it has to be plump and filling the shell, which implies plant maturity.
Do you let your boiled peanuts soak in the salt water as they cool? This insures that the brine seeps into the shells at saturates the peanuts with wetness and flavor. It seems the wetter they are the less likely they would stick.
Some people add a small amount of vinegar to their peanuts as they boil. This is also found in recipes for boiling crabs, shrimp, or crawfish.
There are various reasons given in these recipes for adding vinegar. Some of them suggest that it helps to separate the inner food from the shells. Some boiled peanut recipes say it adds to the flavor or helps soften them. I've never tried it. You might consider trying adding rice vinegar, white vinegar, or apple cider vinegar. Many liquid hot sauces are vinegar based. I would start with a small amount, say 1 teaspoon of vinegar per gallon of water, maybe up to 1 tablespoon per gallon. Vinegars vary in concentration, so keep that in mind. Vinegar will make the water more acidic, and this may be the reason it is used in these recipes. If that is true, then lemon or lime juice would be another option.
The only time I have had my own boiled peanuts stick in the shell has been when reheating them in the microwave oven. I notice that when I reheat boiled peanuts in the microwave without adding water that the peanuts tend to loose their moisture as they heat. The shells become dry, and the juice inside the shell boils off. When this happens the peanuts tend to split and stick inside the shells. As they loose moisture the peanuts get more firm and sometimes split.
Before you boil a batch of peanuts, crack open a few raw ones to see if there is a noticeable difference between batches that stick to the shells and those that don't.