I have a friend that made a little gadget that he uses with his FW machines. He takes an old spool of thread, preferably an old wood spool and then buys a round or keyhole type screw from Home Depot etc. I think they're called an eye hook?
http://www.bottlecapco.com/Eye-Hooks_p_657.html He screws the eyehook into the side of the spool and puts it in the machine like a regular spool of thread. The eye hook faces to the side of the spool so he threads the cone thread through it and it forces the thread to follow the thread path that a regular spool would. The cone thread is situated in back of the machine on a regular cone thread holder. The only expense is an old spool and a 20 cent or so, eye hook if you already own the cone thread holder.
You can also make something like this
http://www.google.com/search?q=feath...ml%3B480%3B640
But, I think I'd prefer the old spool and eyehook.