Believe it or not. That actually works. And amazingly well. But its very directional. Meaning you almost have to have the cones pointed at just the right spot.
Many years ago I worked for a waterproofing,tuckpointing & steeplejack company. and one of the ways we used to communicate with guys who were up high was through the safety cones like the ones you see along side a road where work is being done. Everyone knows that if you call out into one like a megaphone, your voice will come out louder. But also if you hold the opening of the small end against your ear.You will hear things at a distance better as well.
Try it with your kids sometime. Its one of the "cool" things you can show them.