This was really smart using a CD holder. I use a coffee cup and then just bring the thread up and over my machine; no pins needed. I do this for embroidery and quilting/sewing. You could even glue something heavy to the underside of the cd holder and keep the spool part longer.
I'm kind of confused about something. You say you are from WV but talk about having a cone holder shipped down. So, is your location not in the US. I'm from WV living in VA and was confused when you were talking as if you arent' in the states.