Cones can be adopted at all good hardware stores. It is not recommended that you obtain cones from the wild. Many species are endangered, and removing them from their natural habitats and duties could threaten their survival.
When choosing a cone, make sure it has a healthy shiny coat, sturdy foot, and a curious nature. Research to see what type of cone would best suit your needs. Some cones grow quite large, and would not be suitable for apartment living. More cone information can be found at the Traffic Cone Preservation Society's web site.