Make a pan to hold the ice cream cones upright by layering aluminum foil over an angel food pan or deep bowl. Poke holes in the foil to fit cones into.
Make each instant pudding according to package instructions, substituting half of the milk for heavy cream.
Fill cones completely with pudding, top each cone with an Oreo, and chill until set.
Melt chocolate chips in a double boiler. Pour melted chocolate into a tall glass and dip cones one at a time. Let set for a couple of minutes.
After dipping all cones, cover chocolate in sprinkles as desired.