The process is explained with photos on our wiki here:
The real problem, which takes all the work, is making the mold and plugs for the fiberglass. For a large rocket the nosecone is going to be over a meter long. Finding someone with a CNC lathe that large is going to be hard. If you do find one, good news! All you have to do is make CAD model of the inside and outside plugs and then stick some large stable material in the lathe and wait! We used laminated hardwood, though that also took a bunch of time just to make the wooden blanks.
If you can't get it CNC lathed directly you can do what we did and use a "passive CNC" technique where you CNC machine a tool guide to be used on a manual lathe. This is quite labor intensive, but very straightforward.
Once you have an inside and outside plug you make a mold using the outside plug. Be sure to properly choose a mold release. Also to avoid too much of a seem we embedded aluminum strips at the top/bottom mold interface. Once the mold is set you can prep it and start to wrap the inner plug with glass. We interwove the glass with an aluminum ring at the bottom to have something to attach the nose onto the rocket with. This was a bit tricky as you want to have the ring aligned precisely. Patience.
With the glass in place you can push everything into the mold and pull the resin through under vacuum. Once set you should be able to take apart the mold and pull the inner plug out and have a hollow, light, strong, one piece, fiberglass nosecone.
The whole process took our mechanical guys (two or three of them) about 4 months to complete (working at night or on the weekend). Most of the time is in making the mold assembly and and prepping for the final glassing.
This is exactly the kind of thing that would be great to have as a donation from a big manufacturing/machining company as a sponsorship deal. We wish we could have all that time back to do more fun things.