Use essential oils to scent your pinecones. Some scent suggestions for Christmas are cinnamon, cinilla, vanilla, wintergreen, peppermint, gingerbread, etc. You can easily mix and match scents.
Place pinecones in a large ziploc bag. Dot some of the cones with selected essential oils. Seal the ziploc bag for several days, or until the desired scent is reached (you can add more oil during this process, if you wish).
You can set the pinecones out for company, then reseal them in the bag until the next use, or keep them on display permanently.
It is better to have your scent to weak and add to it, then to have it too overpowering.