Gather pinecones from your yard, your neighbor’s yard or other green space. Most will be ready for use without any further preparation. If pine cones are damp or compact, they can be dried in an oven set at 150 degrees for an hour to remove moisture and open the petals (keep a close eye on them for reasons of fire safety).
In a double boiler or a metal bowl resting in a pot of water, melt enough wax or paraffin to coat your pine cones. Candle wax or paraffin can be found in many craft stores, or old candle stubs can be used. For scented pine cones, essential oils like cinnamon or eucalyptus can be added at this time. Use approximately 1/2 teaspoon essential oil per quart of melted wax, adjusting as desired.