Cut the pumpkin in 3″ sections, serving size. Remove seeds and strings if you prefer to use the seeds separately, or you can cook them too with the syrup. Place Piloncillo cones, cinnamon sticks and orange slices in a large and heavy pot.
Add four cups of water and turn heat to medium-high until it starts boiling. The piloncillo cones will start to dissolve, stir occasionally. Once the piloncillo has dissolved, place some pumpkin pieces with the skin side down and then the rest of the pumpkin with the skin side up. If you see that the pieces aren’t covered with the liquid from the piloncillo, don’t worry, the pumpkin will release some of their own juices, and steam will also help with the cooking.
Lower heat, cover pot and simmer. Cook for about 20-30 minutes, it will be ready when pumpkin is tender, and it has soaked some of the syrup.
Once the pumpkin is cooked, removed from the pot using a large slotted spoon and transfer to a tray, cover with aluminum foil to keep warm while the syrup keeps cooking and reduces.
Return syrup to boil, turning heat to medium-high. Keep cooking stirring occasionally until it becomes thick. Return pumpkin pieces to pot and spoon syrup all over the pumpkin pieces.
Serve pumpkin warm or at room temperature with a drizzle of syrup or in a warm bowl of milk. The pumpkin flavors will be better the next day, so save some for later.