You absolutely should bake pine cones before crafting. It delays your craft for a day because you do want them to sit and cool for 24 hours after you bake them, but you absolutely don't want to skip this. Pine cones exist outside, where there are lots of bugs. And those bugs can burrow themselves into pine cones. So when you're bringing the pine cones inside, you're also bringing those bugs inside. That can cause a lot of potential trouble in your home. So better safe than sorry. Don't forget the foil when you're baking them. The foil can catch any bugs or sap that drips when you're baking pine cones, and you definitely want to just throw that away rather than having it fall onto your cookie sheet.