Cones are available on eBay for cheap, but the shipping can be a bit much. Orphan cones are a dime a dozen in cities, but often too dirty and messed up to use. Please don't steal them from active job sites, because they are safety equipment for someone. Other good places to check are auto salvage yards and the county/municipal dump, because that's where the local government takes their bulk waste.
My cone is 28" tall and 14-3/4" square at the base, and weighed about eight pounds before the lamp parts were added. They come in all different sizes, and you could even make a desktop one out a of a little tiny cone. I used a 75-watt equivalent compact fluorescent. A brighter fixture could eliminate the need for the holes. Do not use conventional bulbs; they get hot enough to damage/burn/melt the cone if there's nowhere for the heat to escape.
For sale at: http://www.etsy.com/view_listing.php?listing_id=14777951
I apologize if some of the pictures are a little blurry, it's very dark in my basement.