I used to make pine cone wreathes and never wet the cones - an extra unnecessary step. The enclosed tutorial is helpful. The wire wreath form is the best to use.

I always used the squat, open cones (the ones pictured sorted in the box in the tutorial.) for the inside and outside rings - often just wedging them tight between the wire spaces, and pushing them against each other to lock them together and wedge them in further. They stay put without having to be separately wired. Then I'd fill in with a scattering of wired squat cones and the individually wired variety of different cones I'd collected until the wreath was full and had the look I was trying to achieve. The more cone variety in type and size, the better the look.

Here is a link that might be useful: Tutorial