You can buy an adapter:
http://www.amazon.com/Dritz-R-Cone-T.../dp/B0019KDYL2
And there was talk recently here about a little machine where you can rewind the thread from cones onto spools so it's easily usable on your domestic machine. The name is right at the tip of my tongue ......?!??!?!?
Some people just put the cone in a mug behind the machine - I've had limited success with that method.
eta: Found it - the EZ Winder Kit
http://www.clotilde.com/detail.html?prod_id=7349
Here's the recent thread (hehehe):
http://www.quiltingboard.com/t-115374-1.htm