Worth it to switch it to a cone filter, not really. You're removing the factory airbox which can actually trap air and force it evenly through the filter. The airbox also shields the incoming air from the heat thrown off b the engine. Unless you plan to make a shield around your filter (like a box) and duct it to the outside of the car, you will more than likely lose power over the factory airbox.
If you really are looking for gains, the only realistic choice would be to upgrade to a MAF. Otherwise, look into chips and other items, but I really think the 'cone filter' thing is really a joke - especially because few people do it correctly. If you duct it and seal it from the engine compartment, you might actually see 1-3hp.
Here is an example of what I mean by "sealing":
http://www.sharked.com/products/intakes/E36_EvoII.html
BTW, no ones markets these for e30s (that I'm aware of), so be creative