Check the round containers you have around the house: coffee mug/cup; plastic drinking container; any container that will hold your cone. My personal favorite is a Pringle Can (cut it in half).
I put the cone in the container and set it behind the machine (right side and just touching the machine) Thread the machine just like you were threading from the spool) I've put several pennies in the bottom of the container for added weight. I've never had much luck with store bought holders
Be inventive, whatever works for you is perfect :>)