Making Paper Cones
The cone on this page is specifically being made for a one liter bottle "Backslider" Water Rocket, but the technique can be adapted to any size cone or bottle. Most Individuals have found it tough to make long skinny nose cones, but it is pretty easy using this technique.

I use White Banner Paper obtained from Hobby Lobby. I think Banner Paper is available at most stores that stock school supplies. The role I bought is 65' long and 2' wide. The cost was $4.95.
To make a cone 2.5 feet tall I cut a piece of the paper 2.5 feet long. With the point of the cone located on the end of the paper (2' wide end) I begin rolling a very tight cone in the corner of the paper.
Continue rolling the paper into a long skinny cone. Keep the end tight to keep the end pointy.
Once you have rolled the cone enough so there is a double layer of paper at the broad end of the cone, you can cut off the excess paper.
Now to fit the cone to the bottle. Hold the cone firmly while you insert the bottle into the base of the cone. The cone will expand to fit the size of the bottle. If the cone is to big, you can grab the end of the paper inside the cone and roll the cone a little tighter to tighten it up some.
Once you have sized the cone you can tape the edge of the paper to secure the cone. Once secured, you can cut the open end of the cone to give it a fine fit to the bottle. The cone is secured to the bottle with a wrap of tape.