One method (and possbly not the quickest or easiest) would be to take a thin sheet of foam (craft foam as opposed to the typical 3/8"+ floor mats) and roll it at an angle. You may have to experiment a mit to get it to take the general shape and size you want it to be. Next, begin to mark and trim the overlap starting from the point/tip. Take it slow, always double check everything, and err on the side of caution (remember, you can always trim a little more off, but it's not so easy putting it back on if you go too far too fast). Once you get the cone shape you want, then you'll want to work on trimming the bottom edge so that it fits flush to where you want to mount it. The spikes in the reference picture you posted are all on slightly curved surfaces, so a flat cut on the bottom would make it wobbly. It will take a bit of trial and error, and trimming/sanding a little bit at a time and constantly test-fitting, but it should give you a decent cone shape. If your local department/craft store sells styrofoam cones (often used for artificial flower arrangements, etc.) you can use that not only as a base of reference, but also to fill the inside of the cone to make it more sturdy without adding too much weight.
