Start by microwaving your candy melts in short bursts, stirring in between, until they're completely smooth. Use a pastry brush to paint each sugar cone in a thin, even layer, then stand them upright on wax paper to firm up.
Once the coating on your cones has hardened, it's time for the fun part. Fill each cone with your candy of choice, stopping just below the rim so nothing spills out once you flip it over.
Paint a circle of melted chocolate onto one side of a cookie, then press the filled cone onto it so the cone sits right in the center. Carefully flip the whole thing over so it's now sitting upright like a hat.
Repeat the filling and attaching process with the rest of your cones and cookies. Let them all sit undisturbed until the chocolate has fully hardened, which usually takes about 20 to 30 minutes.
Cut your fruit roll-ups into thin strips and gently twist each one into a rope. Wrap a rope around the base of each hat, right where the cone meets the cookie, then pinch the ends together at the back.