Cones made of thinner plastic are also more likely to crack during cold weather. Many sporting good stores carry a type of cone which has several lengthwise slots, like those shown at right. Do not use these on a slalom course, as they're just about the worst offenders when it comes to attacking skaters. Cans are very bendable and can get stuck between the wheels of a skate if hit you one wrong. Plastic bottles work much better, and 32-oz.
Gatorade bottles are just about the perfect size.
Of course, you don't absolutely have to have real cones in order to set up a slalom course. In a pinch, all you really need to set up for a couple of hours of fun are a tape measure, some chalk, a bunch of empty plastic bottles, and 100 feet of smooth pavement.