If you read the second paragraph I wrote in my reply, that addresses the issue directly - the answer is practice. There are so many variations on cone sizes and usage of moxibustion that an answer depends on - so you need to practice on your own with whatever style of moxa you use most regularly and get used to what it looks like when it is close and what you feel. Generally speaking with many of the cones, once the patients feels strong heat - it is too late.
All that said, there are practitioners and styles who purposely burn the moxa deeper into the skin. And with techniques such as thread moxa or "okyu" you do burn the moxa into the skin, but all the patients feels is a slight pinch. Some feel that the resin and possibly the bruising as well creates a stronger response. I've seen this more when practitioners treat themselves than I have when they treat others - and possibly more with Japanese practitioners than otherwise, but there are many different views on these issues.
If you are doing multiple cones, pulling the cones off earlier rather than later is fine as the area will heat up more from repetition than it would if were doing moxa on the needle or other techniques.