You mean something
this simple?
Road cone page
Not that hard.
It's a combination of two basic primitives: a box (or rectangle) for the base and a cylinder for the cone body. Depending on whether you need the cone to be one organic piece will determine whether you can just properly position both primitives and call it done, or have to take the extra steps to weld the two together into one organic piece.
The box or rectangle (base) is easy: it's a flat, thin box. Draw a rectangle first, then add and reposition some vertice pairs between the corners to round off the corners. Then, in surface mode, select the surface and extrude it a little up or down to give it some thickness. Optional whether you want or need to bevel the edges, or even create a raised "lip" around the edges as some cones have.
For the cone body, a simple cylinder will do. Draw the object to proper size, in vertice mode, grab the top row of vertices and thin them down in X and Y. Select the top surface and extrude it out a tiny bit, thin it or bevel it a tiny bit, then "Make Hole" to create the rounded top.
Now, if you're content to have a simple, basic cone, you can probably stop there. But if you need it to be realistic (that is to say, seamless and hollow; say, perhaps for a video game or animation where the cone might be upended and you could see up inside it), you will need to merge the cone and the base...
For that, I'd suggest selecting the topmost surfaces of the base and "deleting the surface only" (that is, leaving the vertices) and then, in vertice mode, Creating Ordered Surfaces that link the vertices of the outer edges of the cone body with the vertices of the top surface of the cone base. Also, bring up the bottom vertices of the cone body so that it's flush with the top surface of the cone base. Also, select the entire lower surface of the cone and the box and delete them, so that the entire cone is hollow as seen from underneath it.
You could try to do that with a Boolean, but it'd likely be more trouble than it's worth and the clean-up would take you longer than the way I described it above.
Edit: Now, with the v 6.0 Booleans working very well, this might actually be the quickest and best way to do it.
That's just one approach to it. You could get the same results with a combination of a rectangle (perhaps worked a bit to get rounded corners) and two disks (one wider for the base, the other thinner for the top) and the Convex Object/Hull tool, used in "stages" to create the surfaces.