There are molds that you can build around, but it looks a bit tacky when it's being disassembled. Draw a circle on your board to give a basic outline of the shape, and follow it, gradually tapering as you go up.
The biggest prob. with croquembuche is humidity and refrigeration. Fill your puffs with something that isn't going to need refrigeration right away, and make sure you build it as close to the time it's being served as possible.
Cook a few batches of sugar at once, so that if one crystallizes, there's another one right behind it. The darker your caramel, the tastier and more brittle the sugar wil be, which is a good thing. Don't go too heavy on the dipping, though. The sugar is very tough on teeth, and a little dab'll do ya.
Each puff will take about 5 seconds to set, so work quickly with both hands, and use a turntable, if possible.
A much easier alternative is white chocolate. It's tasty, and doesn't react to humidity the way sugar does. It can also stand refrigeration.
Let us know how it goes.