I was thinking mostly wood - but plaster of paris should also work just as well as long as I can slice it with a saw into sections.
As a matter of fact, paster of paris seems like the best idea overall, as wood is too expensive (and hard to work without a lathe). Candle wax would work but is too fragile (kids are monkeys).
Plaster of paris might be fragile too - but it's so cheap that I can make extras. I probably need to find a mold which the inside of the traffic cones might supply (except for the sharp tip).