Having fitted a few of the cheap cone over the year, these are my opinions...
Essential just fitting a cone will make no real difference unless your existing filter is very dirty. However, it will make the sound greater and louder. So even if you're not increasing BHP, it'll sound as if you are.
The best way to improve the filters efficiency is to route a cold air supply to the filter. Many performance options come with a pipe taking the air from the lower front of the car to the filter, rather than hot air directly from the engine bay. Result, more efficient simply because cold air weighs more than hot air and therefore you get more oxygen into the manifold.
On top of that, if a filter is washable it can be reused many times, keeping costs down. Equally the reusable filter material tends to have less resistance so helps there with air flow too.
I shan't be changing the filter (except for a washable filter) on my 97 SLK as I don't need any extra power, and really like the quietness!!!