I put mine in a cup and bring the thread up over the machine from the back and don't have any problems.
If you still want a cone holder you can take a wooden paper towel holder and put spindles on the wooden base and the on the top of the dowel that would hold the paper screw in little eyelets to run the thread thru. Very cheap thread holder.
Last edited by romanojg; 07-16-2012 at 06:35 AM.