Years ago, I had to use cone thread at a class in Houston but didn't have a cone thread holder (as mentioned above) so someone gave me a safety pin. This I taped to the top edge of my machine, with the little circle end sticking straight up, and I threaded my thread end thru it before threading the machine the rest of the way. The cone was placed behind the machine just below the safety pin so that the thread lifted UP off the cone, rather than running from the side of the cone.
Jan in VA