Haha, Someone asked me that once before. It's kind of hard to explain. (Maybe I'll post a tutorial.)
I got this molding stuff at a craft store. (It's hard to miss. You mix one ball of the yellow stuff with the same-size ball of the white stuff. It's stiffer than most other molds, kinda like playdough.) So I made a small ball and squished it flat like a pancake and smoothed it out. Then I took a piece of metal (kinda like a needle, but a tad thicker) and made a criss-cross pattern on the molding (being careful to make sure it's even).
Once the molding set up, I just took a tiny bit of clay and pushed it into the mold. (That way not all the cones look exactly the same.) Then I wrapped it around a tiny cone-shaped piece of clay to help it hold it's shape. (If you do it right, you can remove that part later to add an eye pin, but if you're making the cone up-side right, you may not have to.)
i had to come back and read this again because i totally forgot about it and was too brain dead feeling to comprehend it the first time i read this. haha. now i've totally got it. thanks so much....a month later