Try any police supply store (check under "uniforms" in the yellow pages). You don't need to buy the expensive rechargeable police flashlights (like a Streamlight or Maglight) but they should carry the $6 colored cones that'll fit on the end of a cheaper Home Depot Maglight. If you want smaller and bright, for under a hundred bucks you can buy a Streamlight Stinger rechargeable flashlight with a cone.
For online sources, check out the cones Gall's has here.
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