Looking for a way to make a cone shaped cookie

With the stipulation that you will need a cone form to roll the cookies on, I think the ideal cookie base for your application is the tuile. You would have to adjust the flavorings, probably. You can find many recipes by googling, such as this one from King Arthur Flour.

Here is an example of ginger-molasses tuiles recipe.

Tuiles are malleable when they are hot, and can be draped over a form, or rolled around a mold or form. When they are cool, they are very crunchy and thin and hold their shape well.

See also: How do you make Paillets Feuilletine?

This is an application very similar to the tuile, although much more caramlized. That may or may not fit with your vision for the cookie you want.

I actually tried making ice cream cones a few days ago (I thought it might be fun to go with some home made sorbet).

I was recently given The Perfect Scoop by David Lebovitz and so I used the recipe in his book. The cone recipe he gave was similar to a tuile (I guess ice cream cones really are just a conical tuile) using egg whites, sugar, plain flour and melted butter.

He recommended using a conical mold (something like a cream horn mold) but I didn't have one so I made a mold out of a paper plate with about a 1/4 cut out then 'twisted it' to form a cone and taped it to secure, I then covered it in foil and greased it.

As for the cones, they weren't really a success as I couldn't shape them very well since they were so hot - I put 2 layers of gloves on and it still felt like I was scalding my hands handling them.

The best one looked like this:

You probably won't be able to make a cone out of ginger bread since it won't be able to go from flexible to brittle in a short amount of time (ginger bread -or at least the German lebkuchen- is more cake like than biscuit/cookie). However, you could add ginger bread type spices such as ginger, cinnamon, clove and maybe substitute white sugar for brown to add a toffee note to the batter.

I would take a standard Zimtwaffel recipe, and use gingerbread spicing instead of cinnamon. Zimtwaffeln are a Palatinate specialty which is actually the type of waffle suitable for cones. Traditionally, they also have to be made in a special Zimtwaffeleisen, not a normal waffle iron, with a special kind of patterns on it, but for the cone application, I would use Sebbidychef's suggestion for shaping.

While adapted recipes for tuilles and normal cones will probably work too, I think that recipes already intended for this type of spice (and accounting for the ammount of starch present in it) will give you a better texture. This is why I would stick with Zimtwaffeln.