Yes, you can use a baking sheet instead of a muffin pan. To keep the cones secure, I would recommend covering your baking sheet from rim to rim with heavy duty aluminum foil. Using a sharp knife, cut in an "X" pattern creating holes in the aluminum foil where you can pop the batter filled cones in to. This way they have a somewhat sturdier base when you are transferring them in and out of the oven. You can also purchase a cupcake cone baking rack.