When pine cones are immersed in cold water, like in the bathtub, they close. I made wreaths one year for everyone made out of them.
When the cones are tightly closed you press the bottom the cone through the wire, not forced so much and really pressed in. Then as they get worm they open back up. Once they are dry some may pop out but just get them wet again and maybe use a different size. I always try to pick up smaller ones for this craft. That way they slide in easily and when they open back up they are caught on the wire and stay.
Once the cones are full and the wreath is pretty looking add whatever decorations you like. I had a small electric skillet, maybe for doing eggs, and I put it on the lowest setting where glue sticks would melt. That way I could just touch the soft glue and put the item on the wreath instantly. I used a lot of red berries and some other items taken off the little cheap picks.
In my honest opinion you should NOT, NOT, put fragrance on any wreaths or other crafts due to people having issues with allergies. I am not currently able to go to Walmart or some of the grocery stores because they are stocking the cinnamon scented pine cones. I nearly stopped breathing the other day when I came around the end of a counter and there they were. Other people have issues too so I just say although it is tempting to just spray a bit of fragrance on, please don't.
Here is a picture of the wreath forms I used. I bought mine at Hobby Lobby or Walmart. They may not carry them anymore, it was a few years ago.
http://www.save-on-crafts.com/wirwreatfor.html
Here are some links to pine cone wreaths already made up.
Martha Stewart's wreath:
http://www.marthastewart.com/271588/pinecone-wreath
This is a video that shows how to attach the cones to the frame with wire instead of pushing them through. They are not very decorated though.
http://www.youtube.com/watch?v=x1fe9LjZeAM
Then here is a link showing lots of different cone crafts.
http://www.google.com/search?hl=en&q=pine+cone+crafts...