I found a goofy way to use large cones with my Brother ULT that doesn't involve buying a separate thread holder. I took a clean gallon pickle jar and set it next to my machine. The thread cone sits upright in the jar and the thread is threaded through the guides closest to the machine's spool holder.
The weight of the jar prevents it from dancing around on the table and the size of the jar keeps the cone from tipping over.
Not terribly elegant but it works for me. Now ... if I could only figure out how to do something similar for bobbin thread!