You did ask the question BEFORE you cut the axle, didn't you ?? Because the standard technique is to thread the cone onto the axle very deeply, cut the axle, then unscrew the cone (use plenty of oil, etc.) to chase the threads. Thus, the axle serves as a 'pilot' for the cone.
I don't think the cone itself is any harder than the axle, at least in the threaded area. The only part of the cone that needs to be hardened with carbon and ground is the bearing surface. I don't know the manufacturing steps for the cone, but the fact that the threads are silver suggests that the threads are not hardened.
- Don Gillies
San Diego, CA, USA