See the attached part, not sure what the actual cut profile is, but basically you have to use a variable pitch helix to follow the path of the cone, so that you can do a cut sweep.
I outlined a slightly different method for creating a variable pitch helix on out blog. http://solidwize.com/2012/getting-twisted-driving-a-helix-by-a-path
I've attached a quick model off how to create such a part.
Not completely acculturate but it is enough to give you the needed info on how to take it from there.
1.Create the basic part. - I used the Revolve feature.
2. Create new plane for the start of the helix .
3. Draw all necessary detail for the helix and its profile to follow.
4. Sweep cut.
Hope it helps.