Another way to do it is take a lighter and a thin piece of folded cardboard (or a piece of paper folded up a couple of times).

Heat the para cord till the end melts, then sandwich it in the folded cardboard and squeeze the melted end, pulling it from the cardboard. Repeat one or two times while the melted end is still pliable.

Works great -- a couple times of practice and you're making perfect bullet-shaped tips on the end of your para cord that won't catch on anything.