What is th is thing? It connects to the air filter casing via a hose and tube. I’ve seen pictures of other folks’ engine bays with “cone filters” in place of it. How do I get one of those?
Crank case filter. An air breather replaces the intake vent hose on your crankcase, which vents the spent gases inside your head out into the atmosphere instead of back into your intake track. This keeps your engine clean and in top condition. Aside from that, air breathers also improve the appearance of your engine bay. You can get one from http://www.andysautosport.com. But someone else may know of somewhere cheaper. 
Autozone, Advanced Auto, O’reillys, NAPA, Walmart…
you can get them anywhere, however make sure that yours is pointed up. if it is put sideways they tend to leak oil all over your engine bay.