In a bowl with a whisk, whip the heavy cream with the vanilla extract until mousse-like (it won't form peaks).
Sift the remaining ingredients together and stir them into the cream to make a batter.
Let the batter sit for 30 minutes.
Follow the manufacturer's instructions to heat up the waffle cone maker and to cook the batter. I suggest over-baking the waffle cones just slightly. Whenever I got scared of the cones burning and pulled them off of the iron, they ended up a little soggy.
To shape the waffles, roll the hot waffle around the cone mold that comes with the waffle maker. As soon as the cone begins to overlap itself, press down firmly as you continue to roll to make it stick closed. Use your fingers to pinch together the hole at the bottom of the cone. Work quickly as the the waffles harden very fast and you don't want to miss your window. Also, protect your hands; the waffle will be really hot and you could burn yourself. You might want to use a towel or wear gloves to help you roll the flat waffles into cones.