Originally Posted by quiltedsunshine

Cone thread should be positioned so the thread pulls straight off the top of the cone. It also has to be held into the thread guide that's just before the tension disks. Sometimes it helps to guide a cone thread through a paper clip that's taped to the back of the machine, if your machine doesn't have a cone thread guide on top. Otherwise, the thread can slip in and out of the tension.

What kind of machine do you have?