Im not sure which specific filter your talking about... But the reason cone shaped - or whatever filters work better is that there is more filter area, meaning the engine can get more air. You are right though, it won't be getting cold air. One thing you can do though, is make a heat shield with some piping going down into the fender or other area similar, so cold air is forced into your heat shielded area.
btw - that 'you dont drive a honda' comment is getting real old, he was asking a question, not suggesting doing something from a honda. Not to mention a Honda air box is extremely similar to a stock BMW one - and it too is ducted to cold air from outside of the engine bay.