I was wondering the same thing last year, and couldn't find any suggestions on the internet. So this year we've been picking up (a few) pine cones from trees found along various Time Out Country walks (http://www.walkingclub.org.uk/). Most convenient spot? Near the start of Walk 31, Book 1. (I'm not being too specific because I wouldn't want one area to be denuded of cones!)
I think cones are best gathered slightly earlier than now (we found them from September). I'm going to try making a DIY version of the coloured fire cones sold by Lakeland (http://www.lakeland.co.uk/northern-lights/F/product/7628), following instructions from http://www.cascadecones.com/crafts/flames.html.