Covering a cold sore with petroleum jelly won't cure the problem, but it may speed healing and help protect it from potential secondary infections caused by opportunistic bacteria looking to exploit the cracks and creases in the sore. The slippery jelly can help to soften the rough, scaly skin and lessen some of the discomfort that often accompanies an outbreak.
There's been some debate about whether you should try to dry out cold sores or keep them moist. Some doctors prefer the latter. Maintaining a moist, protective coating won't just improve your comfort levels, it may also prevent some of the crusty bits that tempt you to scratch at your lips.
Putting a local anesthetic ointment containing benzocaine on the cold sore can also help numb the pain temporarily. However, attempting to camouflage a cold sore with makeup often aggravates the problem, as the chemicals in makeup or lip balm (particularly those laced with menthol) can make the sore worse. And whatever you do, don't share your lipstick or makeup.
If you have an outbreak, be sure to discard any lip balm or lipstick that you used prior to the sore's appearance. Otherwise, you might be reapplying the infection every time you swipe those products across your lips.