What is the quality of your thread net? I found that the ones I bought from Superior Threads are much finer than the ones I bought off Amazon. The fine nets work better. You may need to cut the net to fit the cone, and you may need to glue or tape the net to the bottom of the cone so that the net does not slide out of place while sewing.
If your thread holder has a wire circle that you run the thread through, you can try this. Take a piece of batting (I used Warm and Natural) about one inch square, fold it in half, run your thread through the fold, and place the batting inside the metal circle on your thread holder. On my frame machine, this batting stays in place by itself. With your setup, you may need to experiment with batting type, batting size, or even glueing or taping the batting in place to keep it there. This is probably very similar to what you have read about using a cotton ball or plastic peanut. In those cases, I would run the thread through and place the cotton ball or peanut right before the circle opening in the thread holder. You could use a square of batting in the same fashion, I think. Basically the wire circle keeps the batting/ball/peanut in place while the thread feeds through it. The purpose of this is to keep even tension on the thread as it feeds, before it ever gets to the machine.
I like Superior's thread holder:
http://www.superiorthreads.com/shop/...thread-holder/