IKEA Skådis Sewing Thread Spool Holder

Each holder holds five spools of thread with a diameter of up to 35 mm. Slightly larger diameters are fine if mixed with other spools of a smaller diameter.

Check out this model if you need to organize larger spools of thread.

Modelled to fit the pegboard snugly, consider scaling down in the z-axis if you want a slightly looser fit.