I tried this, made several 8 side cones as roofs for some posh bird boxes. The design for this came from daughter, who then decided they needed dormer Windows fitted as well. Basically made a cardboard model, then cut out a triangle, or whatever shape you need as a template and run the blanks for the sides through the router with a bearing guided 22.5 degree. Didn't turn them afterwards. Gluing up was iextremely messy I was using pu glue, so had very black hands afterwards als involved lots of swearing.
Cable ties were good for holding it together whilst glue dried.