When I use thread from Connecting Threads I use barrel from an old straight ink pen, just take the guts out of it and put it on the spool pin. When I use Coats and Clark on the large spool, I either use a cone thread stand or the wooden spool insert. You can see one in the following picture link.
http://home-and-garden.webshots.com/...45965719RMiKSl
You can see the pen barrel in the following picture link.
http://home-and-garden.webshots.com/...45965719VtHrGS
The only thread I've had trouble with on my FWs is Masterpiece, it breaks constantly; however none of my more modern machines have a problem with it.