Nevertheless there is a solution for nearly everything. You can start with an M42 adapter which is 45.46mm FFD. The next thing you need is a tiny M42 to M39 adapter ring. They are easy to find and very cheap. This is what it looks like:
An M42 to M39 adapting ring next to a Helios-44.
Ring screwed on Jupiter-9 lens.
Now you can screw your lens into your M42 to Sony adapter. Check whether you can focus to infinity (~15m is not infinity!), the lens being widest open. If you have several M42 adapters, take a caliper and find out, if there is a shorter one and have a test again. These adapters are adjustable, there are 3 screws which hold the ring with its M42 thread. In the first place this lets you turn the screwed-in lens to shift the reading marks towards the top. If you can't reach infinity, you have to sand down this ring.
Threaded ring unscrewed. The shims are not part of this adaption.
Unscrew the threaded ring and take it out. Put sandpaper on flat surface and move the back of the ring on it in circular movements. Most of the rings are made of aluminium, so it's quickly done. You only need to sand down less than 0.3mm, check with a caliper. Clean, clean and clean again, you don't want filing dust on your sensor. Put the ring back, fasten it and check again with camera and lens. Should be fine now.
Some general remarks: many interesting Russian lenses are more than 50 years old. Some have been stored under doubtful conditions. According to my experience there are sellers which have a different view about honest descriptions. An exemple: I bought a lens that was described as "Glass is clean. No scratches, no fungus, no dust." There was dirt and something which looked like scratches inside the lens. To me it seemed as if somebody had tried to clean fungus inside the lens but didn't succeed. When I told this to the seller, his answer was: "...given the age of this lens - more than 50 years - it is normal if it does not affect the quality of work." Not exactly what I would have expected. So look for a reliable seller, even if he might be a bit more expensive. Most of the sellers were very helpful and there was no problem with shipping.
M42 lenses have no particular problems. And beware, there is one mount which is only adaptable if you are a (near-)professional: the Kiev 10 or 15 mount. So keep your eyes open.
Here are most of my beauties:
First row: Mir 20H (converted to M42), Industar-69 (adapted to M39 FFD), Jupiter-12 (M39), Jupiter-8 (M39),
second row: Industar-26m (M39), Industar-61 L/D (M39), Helios-44 (M39 Zenit),
last row: Jupiter-9 (M39 Zenit), Jupiter-11(M39 Zenit). Missing on the photo: Orion-15 (M39).