If there is a fair amount of thread on the spool, grasp a little length of thread, bring it to the end of the spool, keep your thumb on the thread attached to the spool, and with the loose end, give it a little tug at the top of the spool. This will bury the thread end along the thread stacked at the end of the spool, just make sure you I leave a little tail out so you can pull it out again when you want to sew.
This works on your bobbins too but I use the clear pieces of hose cut to fit on my bobbins instead.