I'm really thinking if you're going to try to do this type of thing, you need to spend a bit time and get at least a little familiar with one of the free 3D graphics programs. The attached is from Anim8or - which I find quite easy to use - but there are other options as I've noted in earlier posts. (Nearly all will also need
Biturn to convert from .obj to .ase format - but for simple things like this, that's pretty error free.)
In Anim8or, all you have to do is select the cylinder object from the default screen, click on it to set the parameters you want, make sure it's still selected (I'd also use the position>move to center option) and export it. Try .obj first - if you don't get good results, try .3ds. Both very occasionally give problems -if so, just start over with slightly different parameters.) Then convert it to .ase, use the "import as texture" method you discovered earlier and then edit transparency, color, position, size, etc. in Alice.
I attached one pair of .obj and .ase cylinder files (the cylinder is fairly big physically) to show what you can do. This cylinder has a nice aspect ratio - but it still has end caps - so if you wanted a longer, transparent beam, you'd run into the same trouble as with the cones. In Anim8or (or the others), you have lots of options - taper and bends as well as end caps, for example.
Have fun!