Cones & other tweaks are system dependent; what works well for one won't necessarily help the next guy at all, or it might work even better. Experimentation is required, along with a system that's revealing & resolving enough to show you the differences. My own experiences with cones had the most pronounced effect on source components; CD player & turntable (preamp & tuner to a lesser extent). Not much of a change was noted when I tried them with one power amp, although other tweaks such as shelving & footers had a greater effect there.
Different types of cones work differently on different components too. I keep an assortment on hand: Black Diamond (carbon fiber #3's & #4's) BBC & Audio Points (plated & plain brass), Polycrystal, aluminum, steel, & Orchard Bay titanium.
Cones are coupling devices which help to sink the vibrations out from your equipment, clarifying & improving the sound. When used with speakers they also improve mechanical stability of the cabinets, realizing a more focused effect.
My best results are had with cones when used in conjunction with other techniques, rather than standalone. I use Vibrapods to isolate Black Diamond shelving from my rack's vibrations, then cones to couple the stray vibrational energy out of the component & into the isolated dead-mass shelves. So the sandwich looks like this: component, cones (with discs underneath for the sharp pointy ones), Black Diamond shelf, Vibrapods, then the rack shelf is underneath all that.
You can even tune the effect by placing coins under the cones points; pennies, nickels, dimes, etc. all sound different. Another tuning technique is to vary the spacing of the three cones under the component; closer together is generally warmer & less resolving, further apart is brighter & more revealing.
Mass loading techniques, inner tubes etc. these are other tuning techniques that are sometimes used to good effect (or not) but I don't want to overwhelm you right off the bat.