I can think of two ways to do it. You can use either constraints or motion paths.
Constraints: Use a geometry constraint to make the cone stick to the surface of the sphere. Then, use a normal constraint to make the aim vector align with the normal of the surface. Takes some playing around, but should do what you want.
Motion Paths: Create curves on the sphere by making it live and drawing them, or by projecting curves onto the sphere. Use those curves as path curves for motion paths. If you key it right, you can make the object assume a certain position on the path for all time.
If you also take advantage of grouping the objects to themselves, you can give yourself some extra degrees of freedom to edt.
Hope this helps.
Jeremiah