Could indeed be the finish on the yarn. If what you try doesn't get rid of the problem. Baking soda or white vinegar to wash the skeins with might help.
Or a weak solution using Dr. Bronner's liquid, organic, castile Baby Soap.
Otherwise it might be the fiber content. Are your afghans and shawls nylon, polyester, acrylic, rayon, or ???? Acrylic is a petroleum derivative.
Organic fibers might be the answer. Ooh, are they nice.
It could also be your crochet hooks. A lot of people have trouble