Skincare products with cones work well for me when it's cold/dry. They really help prevent moisture from fleeing my skin.
In the summer they're more of a problem for me, but I can deal with them in lower amounts. Most sunscreens have cones in them; the natural sunscreens tend to have a lot of oils in them.
If you think you're sensitive or you are concerned, check your deo also, most of those have cones in them.