I work directly from a spool of 18-gauge wire; you don't want to use a thin gauge, as the cone won't be as sturdy. Start by wrapping the end of the wire around the widest part of the pliers. Holding the pliers in your dominant hand and the wire tightly in the other hand, slowly rotate the pliers while keeping the wire taught. This allows the wire to slowly wind its way up the pliers, forming a cone shape.
Slip the cone off the pliers and trim the ends. Voila! I find this method makes the perfect size cones for my multi-strand necklaces with small beads!