They can be coated with thin CA and then sanded smooth, it may take a couple of coating and sanding, but it smoothes and hardens the balsa surface ( K'tesh has a tutorial here on TRF using the CA method). DEFT lacquer sanding sealer can also be used in a similar mannee.
I use Elmer’s fill n finish to fill in the pores of the wood (so that the surface can be sanded smooth). Then sand, repeat if there are any unfilled areas, and CA the surface to seal and harden. Then the CA gets sanded smooth.
As he notes, thin CA is nasty. The vapors are noxious and the reaction as it cures is exothermic. I'd suggest using a disposable brush, rather than drizzling the CA over the cone -- but use something with coarse bristles. Don't use a cotton swab, unless you've got chemical goggles, a good respirator, and are prepared to sand the cotton fibers off the cone.
I've had an almost-good result soaking a BT80 WAC Corporal balsa nosecone in Minwax Wood Hardener, then sanding with 400 grit/steel wool before painting. The wood did not absorb the hardener uniformly. Some spots got harder than offers.