My mom used to bake them right inside the sugar cones, but I remember the cones always tasting stale after baking.

I just saw on some cooking show a different way...they baked the cake in a flat pan, then cut it into small pieces, I think with a small round cookie cutter. They put some frosting in the bottom of the cone, then cake and then frosting on top again. Seemed like a good idea...more frosting and the cone stays crispy.