I think the primer coat is the most important for the nose cones. Since paints and primers don't grab to shiny plastic as well as they do to paper and wood, you could find some stretch marks in your primer if you put it on too heavy. I've had buildup/automotive primer shink from a heavy application, and since it has no give, it pulls apart leaving stretch marks. Always apply a few dusting coats of primer on the plastic so that each coat isn't very wet. Then, it can be sanded as you say, and made to look just like the rest of the beautiful rocket.

Oh yeah, wipe the nose down with alcohol first and let it thoroughly dry, to get off any finger prints, mold release, or other contaminants that can make even primer leave fish eyes. Some like to lightly sand the cone, but that depends upon whether it has details on it or not.