The volumetric shaders on the lights cones should be able to interact properly with your objects. But tell me, are the objects modelled, or are they, for example, silhouettes 'cut out' of poly planes using alpha channels? If the latter, be aware that the entire poly plane, and not the 'cutout' shape, will affect the light.
Beyond that, just make sure your lights are set to use depth-map shadows, and you should get the expected effect.
Oh, what renderer are you using? The workflow is different for Mental Ray. The Maya Software renderer is the one I tested with.