I've made the combustible cartridges for many of my revolvers and have done it both with Zig-Zag papers and also with homemade combustible paper. I prefer the latter, and yes they do work much better with conicals rather than roundballs. It's been awhile, but I believe I was using Linen paper from a stationary store, a pound of Potassium Nitrate is than added to warm water until it will not disolve any further (a saturated solution), once disolved the paper is placed in a photo tray which is than filled with the nitrate. The sheets are allowed to soak for awhile and than pulled out (carefully since wet paper is fragile) and allowed to air dry (I'd hang mine on a cloths line). When the paper is dry you can cut it to the particular shape you need. I made tapered dowels that fit the chamber of the revolver I was making the cartridges for and than waxed them so glue in following operations wouldn't stick. A cardboard pattern was cut out, tried around the dowel and trimmed until the right shape was worked out. All the paper could than be cut to this pattern. To use, the paper was wrapped around the dowel and glued with a glue stick. The paper was carefully removed and the small end was either crimped and glued, or twisted to close. The charge of powder was than placed inside the now closed paper cylinder, and a bullet, with a thin band of glue around the base was set in place and the paper was than pushed around it to seat in the glue line. The now completed cartridge was put aside to dry for awhile and was than ready to use. These cartridges are relatively fragile so they need to be stored carefully and out of damp areas, but they will work for years, I found a small cache of these cartridges I had made some 15 years ago and recently shot them in my 1860, they all went bang.
What was surpising to me was how small a charge the original factory colt cartridges used, seems pretty anemic when you think about it. They also were such small charges that they would have left quite the gap between bullet and barrel, there fun to play with, but I still prefer loading with loose powder and roundballs.