Personally, I would not use craft store pine cones. If you do, I'd place a piece of parchment or wax paper underneath them. I wouldn't want that to touch the cake.
There are a few tutorials on how to make pine cones...some out of chocolate, some out of royal icing. I purchased a mold for the pine cones I have done. I found that easier and I use the mold quite often in the winter :) You could also make your own mold if you'd like to go that route.
there is a pinecone tutorial on this website by (I think) @costumeczar
Yes, it's the first one on the list that @640Cake put up. I'd do them that way, it's not difficult and real ones are dirty and tend to drop little pieces of the cones off.
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