This wreath is SO cute! Check out the Brightwood Living blog for more details.
She doesn't have step by step instructions, but it sounds like she attached the pine cones to the wire form with floral wire & the last row looks like small pine cones attached with floral wire to the center to hide the floral wire that attaches the larger pine cones to the wire form.
Hopefully that makes sense.
Check out the blog post & her pictures.
One suggestion - she mentions the sap gets all over, so wearing latex type gloves (like your Dr/Dentist) may be a good idea. (maybe not, so don't hold me to it ;-)