If you're unfamiliar with the Group tool, I suggest practicing with a low poly model to get the hang of it. A standard six poly cube would be too simple, but perhaps you could construct one with more polys per side. You'd be able to toy with it without having too many polys and vectors to deal with. Using the appropriate document display is also crucial. For example, the wireframe will allow you to select polys through the mesh, whereas the flat shade only allows direct selection of the poly you're clicking on. As Little Dragon pointed out, you could select the entire surface of the cone, barring the extreme ends, select "Create Prop" from the Group tool options, and then delete the original cone, leaving you with a truncated cone (like a megaphone). Select the surface of this new cone and "Assign Material" to give it a material zone. By selecting various areas, you can create various material zones. If you want to keep this new cone/lampshade prop for later use, don't forget to save it to the library.