My dh made me some thread holders for big cones, he used an oak block and cut them out oblong and made the upright thingymajig with a curl at the top like most of them are, turned out wonderful and I gave a lot away. He was a machinist so could form the metal like magic.
YOu can also buy them from many shops on line or at Joanns probably. Many places they aren't expensive and are weighted so they stay in one spot.