You want to use a hot burning wax, like paraffin or white beeswax. The easiest way is to melt the wax in a double boiler and dip/roll dried pinecones into wax and let hang to dry. When dry, dip again and allow to dry again.
For fun, when you pull them out of the wax dip the second time, before they dry, sprinkle with salts to make them burn colors (Epsom salts, white flame; table salt, yellow flame; salt substitute, violet flame)
A little more time consuming, but if you have small cups (we use a miniature fluted tartlet form that you can get in many baking shops http://www.pastrychef.com/FLUTED-TARTLET-PANS_p_12... that will fit the bottom of the pinecones you're using, you can fill them with wax and immediately place an already dipped pinecone on top to dry into the way, This way they will have more flammable wax content and you can set them upright by your fireplace.
Some people will weave raffia around the cones before dipping or when done, time them together in a string of 4 or 5 to set across the fireplace between paper and wood for more even lighting.