Some machines also have a special guide/hole/metal loop thru which you can guide the thread from a cone holder. Mine is a Bernina and it's on the handle - pull up the handle and check the right end of it. After that, thread as usual.
I also remember years ago when we first started using cones, in our mugs, we occasionally taped a med/large safety pin upright to the top right hand corner, on the end of the machine, to serve as a guide; the thread went thru the hole on the safety pin; then thread as usual.
Jan in VA