Growing proteas from cuttings is usually very successful and thus rewarding. Cuttings should be taken from semi-hardened plant material - usually the new growth from the last growing season (either autumn or spring) which has hardened off for a few months. Spring shoots would be ready for cutting late summer/early autumn and autumn shoots late winter/early spring. Best time to harvest protea cuttings seems to be early autumn before the cooler winter months.
The most successful cuttings are by far from the semi-hardened side shoots which come from just below a forming bud or flower. Cuttings should be taken in the early morning when it is cool & moist and the cut material should be kept fully hydrated - placed in a plastic bag and sprayed with water. They should only be kept for a few hours before treatment and planting in a cool place away from direct sunlight.
The leaves on the bottom 2/3 of stem should be carefully removed - and when planted, should be planted to 1/3 of total length. Treating cuttings with a plant hormone increases the chances of success. These you should be able to find at your nursery.
You should plant them in a mix of 2 parts coarse washed river sand to one part good quality peat moss. The cuttings will strike most readily in a warm, moist environment - mist watering systems work well. Adequate ventilation around the plant is important to prevent fungal infections, and the cuttings should be given a drenching with with a general purpose fungicide like Captan or Benlate before being planted.