Making a piping cone out of parchment paper is fairly simple. Start by cutting a square piece of parchment paper in half diagonally to form two triangles. Take one of the triangles and roll it into a tight cone shape, making sure to leave a small opening at the pointed end for the icing to come out. Secure the cone with tape and then fill it with your desired frosting or icing. Twist the top of the cone to close it and trim off any excess paper from the tip.