You can buy spool holders at Joann's. These are cheap plastic things.
http://www.joann.com/joann/catalog/p...RODID=prd12768
Or if you're handy, you can make your own. I've heard of people using paper towel holders: Place your spool on the small vertical piece and screw an eyelet screw into the tall piece (where the paper towel normally goes) for the thread guide. If you don't have an eyelet screw, try taping a paperclip on it to use for the thread guide.
You can also run to your favorite craft store (like Hobby Lobby or Michael's) and pick up some dowel rods and something for a wooden base and make your own.