Ive never heard of putting the cones inside the mill, so I can't help you with that, but experienced weaver Jennifer Moore has a video available online where she demonstrates winding a warp with 4 threads at a time. She is using a warping board though but I think the key thing is the way she manages the change of direction at each end of the warp. I have tried this myself on my warping mill and it took a bit of getting used to, but it works. here's the link.
Also, I seem to remember that Jane has also done a video showing her warping with 4 ends at a time, but I couldn't find it. Perhaps others will reply to your post with that info.