My sewing machine has a built in cone holder. Perviously, I used one my DH made from a round of wood (about 5" across and 3/4" thick, well sanded. He took a piece of welding rod, made a cirlicue at one end and inserted the other through the wood, near the edge. that is to make the thread go up from the cone. He used a half inch dowel inserted into the middle of the round and screwed it in place from the bottom.
I use cones because they are cheaper and because when I am quilting I go through a lot of thread and hate changing spools. The disadvantage is that there are fewer color choices. If it is the same brand and weight, it is the same strength.