Imagine cutting your road cone vertically through the middle, and watch the cut edge. Take half of it, say the left one, and draw it (as a line) so that the tip touches the Y axis.
Now revolve your line around the Y axis chosing a number of steps multiple of 4 (36 is a good value).
What you got is a sort of witch hat, with a round base. Switch to 'vertex' mode and, from above, select one quarter of the vertices of the base, say those on the left side - roughly but not exactly those between 8 and 11 o' clock. Squeeze them rightwards together, and one side of the base is done. Repeat the procedure on the remaining 3 quarters, and there you have your road cone.
I know, it's still flat, just a tiny shell, but that's soon taken care of: extrude the whole thing upwards by a little, and your cone is now solid and ready for painting.
Required time: 2': 25".
If you have a problem give it to a lazy man: he'll find an easier way (Murphy's law) 