So you have cut out your blanks and rolled them up. On to the welding.
Tig welding is the best way to weld up sheet metal. But I have done it with an oxy/acetylene set and just fusion welded them. You can see that unless you have your cones formed perfectly then you are going to have some gaps. You will get better at making them fit together after you have done a few pipes. Remember that the experts have been at this for years so no wonder their pipes and welds look so good. 

So after a while you will be knocking up cones and welding them together like an expert. Just keep at it and think of all the money you are saving.
If you look at the pic below you will see that not every idea works and practice makes perfect.

Just a few of my first attempts