What an invention. Way to go. I use the large cones as well just because. Price is better than a lot of little ones.
Like nhnative's idea too, using a jar.
I have a cone holder to use and also had dh make my banana holder into a nice holder. He added a dowel to the middle on the base and I feed the thread up thru the link and over to my machine. Looks cute and cheap.
Thanks for sharing your idea.