My current process:
1. Obtain nose cone from source that is likely to provide a good product needing relatively little fixing (SEMROC, BMS, Fliskits to name a few).
2. Very lightly and gently sand it to remove any roughness using a 3M sanding spong of grit around 220. VERY LIGHT TOUCH.
3. Using a Q-tip, rub thin CA over the entire cone surface (not the shoulder)
4. After an hour or so, use a 150 or 180 sanding sponge and go a bit harder over it to knock down the stuff that always stands up during CA treatment.
5. Use either Carpenter's Wood Filler (slightly diluted with water for spreadability) or 3 M / Bondo spot putty (I dilute with a few drops of lacquer thinner) and rub it into the grain. Let dry until product is fully dry/cured.
6. 180 grit sponge, sand till mostly smooth. CA treated balsa will be resiliant compared to the putty/filler so don't worry about hurting the cone too much. Then repeat with 220 sponge.
7. Rustoleum automotive filler primer. Heavy coat, then sand with 220 grit sponge.
Edit: use appropriate ventilation and personal protective equipment per directions of products listed.
"If at first you don't succeed, Scream and Leap!"
NAR member 92906