I guess I'm just weird, but I don't mind running out of thread. Running out of bobbin thread is much more annoying, and happens much more often. I use Aurifil large spools, so I empty a dozen bobbins before the top thread runs out. I have looked at cones, and decided against them because if I get a bad one, it's a huge waste.
I also move my machine on and off my table a lot, so having a separate cone holder would be a pain. I guess it really depends on your personal setup; for me right now, I think they would create more problems than they would solve.