The closing and opening of a cone's scales is caused by swelling and shrinking of the cone's plant cells. Closing occurs as the cells expand when wet and the scales shut tight, then the cells shrink as they dry out and the scales open. If you would like to see pine cones close and open, try this experiment.
How do you keep pine cones from closing?
Use a clear sealer on the pine cones. They will give them a nice shine and also preserve them so you can use them for several seasons. When you pack them away, place them in a zip lock bag to keep them fresh.
Why do pine cones open in heat?
Closed-cone pines have evolved to use the heat from a forest fire as a trigger to opening their cones. The extreme heat melts the resinous sap, allowing the cone to open and exposing the seeds to the outside world.