If you don't have access to a lathe, you can cut a series of wedges with a band saw and/or a table saw. connect them all together in an "almost cone" and sand down the edges until it's fairly conical. The narrower your wedges, the more conical you'll get. 

The angle for each wedge is easily calculated. Where N is your number of wedges, 360/N gives you the inner angle. I'll try and make a Sketchup picture, my Sketchup skills are not as great as others around here.

So for now ...  
1: Cut a bunch of wedges from rectangular blocks  
2: make a diagonal cut into each wedge to make the triangular size of the cone   you need.  
3: Glue them together.  
4: Sand the corners down.  

As I mentioned in a comment, I would not recommend trying to make a DIY lathe. To me that seems like an attempt for the [Darwin Awards.][1] 


  [1]: http://www.darwinawards.com/