In a medium bowl, stir together marshmallows, peanuts, candy corn, and chocolate pieces. Set mixture aside.
Place ice cream cones on the wax-paper-lined baking sheet.
Spread outside of cones with melted chocolate or vanilla coating. If desired, sprinkle small candies on the cone before the coating dries completely. Let coating dry.
Turn cones upside down and fill with about 2 tablespoons of the marshmallow mixture.
Place the cones upside down inside a mug and brush a generous amount of melted chocolate or vanilla coating along the bottom edge of the cone.
Press a cookie against the coating and let dry.
Carefully turn the cone right side up onto the wax-paper-lined baking sheet.
Decorate the outside of the plain cones with small candies, using the melted coating to stick the candies onto the cone.