Now that idea just might work. Of course, it depends on the plastic the basket is made of. And you would need a metal form to heat - that is the expensive part..
But sitting here and looking on the desk, I have a neat stack of plastic serving cups that they use to put ketchup in for kids lunches at school. (I got 'em from my wife for another project - it's OK, she got permission to bring 'em home).
While larger than plastic easter eggs, they would be too small - but if fastened them on the bottom of a plastic cup, and then turned the plastic cup upside down, that would make a good-sized (and cheap) "cone".
Just a thought!