First thing you need to do is go gather up some pine cones. Fortunately we have a couple pine trees on our property so that won't be a problem for me. If you don't have any you could go to a park or hit your local craft store where you could buy a bundle of them at a fairly reasonable price.
If you have gathered your pine cones outside be sure they are nice and dry. If they are wet from a recent snow or rain you could put them on a cookie sheet and pop them in the oven on a low setting for a couple hours to dry them out.
You need a double boiler to melt your wax in. I use an old metal coffee can inside of a metal pan. Fill your pan about half way full of water and put your wax in the coffee can. You could use old candles for this, just be sure to cut them up a bit so they will melt faster.
Using tongs (or wire from an old hanger) dip each pine cone into the wax. Be sure to have newspapers spread about and a sheet of wax paper to set the pine cones on as they dry. The wax will drip and you don't want a mess. The newspapers will make it much easier to clean up. If your wax is not too hot it will be a little thicker and you will only need to dip your pine cone about 4 times. After the last dip let them dry real good. I'd say for at least an hour. Now put your dipped pine cones in a basket and sit it by the fireplace! That's all there is to it! I told ya it was easy!