So to get the "figure 8" or X at the top of the tensioner, the thread would go from the cone holder, across the top of the tensioner first, then underneath, then up to the bobbin. It creates a snugger fit. Maybe I'm crazy, but it's just what I've learned to do with all bobbin winder tensioners. In your picture, the thread goes from the cone holder underneath the tensioner first, then straight up to the bobbin winder.
If your bobbin is slipping while winding, sometimes you can put a shim in the center post to widen it's grip. But I can't remember if that machine has a split post, so you can do that. Mine is out in the garage at the moment.