It may be easiest for you to just create an initial cone and also replicate the fin piece how you want it all aligned to the world axes and then rotate that whole thing into place.

You can also construct it directly in place by setting a cplane as well though. If you wanted to that you'd probably draw in an axis line for the central line and then set the cplane to the base of that line - that will align the cplane's z axis with that line so that after that you will be drawing in that slanted orientation directly.

- Michael