Stir cream cheese, goat cheese, parsley, tarragon, thyme, garlic, cayenne pepper, salt, and black pepper together in a bowl until smooth and well-mixed.
Turn cheese mixture out onto a serving platter and form into a tapered oval shape to resemble a pine cone.
Starting at the tapered end, press almonds into the cheese cone so that the tip of the almond is facing out and down, and cheese cone is completely covered with almonds and resembles a pine cone. Place rosemary sprigs at the top to resemble pine needles.
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