Here's a recipe I got off the discussion list a few years ago,
Fill a large saucepan about three-quarters full of water. When it begins to boil, add a few cinnamon sticks - about 4 cinnamon sticks for every 20 medium size cones you plan to scent.

Let the cinnamon gently boil in the water for 5 minutes, then add pine cones. They are done when each petal is completely saturated. They will become a very dark color, and their grain will show up. Lay cones on a wire rack to dry completely.