I use plastic bottles from water, pepsi, etc depending on size of my cone thread. I cut the bottom about 3-4 inches. I than place my cone in it. I take the top portion and I slide it inside the bottom piece also making sure to send my thread up to the top. I just sit it behind my machine and thread the machine.
The large one to the left is from a 1 gallon water jug and the other is from a 12 oz coke bottle.