Although, this team does has an Ice weakness, it's a pretty decent team. Let's see what I can help you with. Now, changes will be in bold.
Conkeldurr:
Conkeldurr@Assault Vest
Guts
EVS-252 Attack 252 Sp. Defense 4 HP
Adamant
-Drain Punch
-Mach Punch
-Knock Off
-Ice Punch
This set is Conkeldurr's standard set. Although, a new one could work too, as you can surprise the opponent, with an unexpected set.
Ferrothorn:
Ferrothorn@Leftovers
Iron Barbs
EVS-252 HP 252 Defense 4 Attack
Relaxed
-Gyro Ball
-Thunder Wave
-Leech Seed
-Spikes
Alright. This set is self-explanatory. Since you are running Stealth Rocks, we could use some Spikes too, but if don't want them, go for Power Whip.
Landorus-Therian:
Perfect. Although, I think we could use a: 200 HP 252 Attack 52 Speed EV spread, but that's just me.
Heatran:
Perfect. Although, Flamethrower wouldn't hurt to replace Fire Blast. Accuracy is nice, but if you still insist on Fire Blast, I'm fine with that.
Latios:
Perfect. This team is pretty good when coming down to the bottom. Although, I don't know if Latios can play safe enough to run Defog, but since everyone will think you are Specs, it could work.
Pinsir-Mega:
Return>X Scissor, and run Adamant, but running extra Speed wouldn't hurt. Now, about that Ice weakness. May I suggest a replacement? Mega Pinsir is powerful, and I know that, but you have 4 Physicals, and 2 Specials. Let's try to balance out the Physical and Special sides. Let's try something pretty tanky, but can still be a powerful Mega. It is slow, but from my past, this Pokemon can take hits, and do massive damage. This Pokemon is Mega Blastoise.
Blastoise@Blastoisite
Mega Launcher
EVS-252 Sp. Attack 184 HP 72 Sp. Defense
Modest
-Water Pulse/Hydro Pump
-Dark Pulse
-Aura Sphere
-Dragon Pulse/Rapid Spin
This set is a standard launcher set. If you decide to run Rapid Spin, replace Defog on Latios, and use HP Fire. Also, use Choice Specs, or a Life Orb. This Blastoise is pretty tanky, and is powerful with its Mega Launcher ability. You should use this, if you want to get rid of the Ice weakness, and have a balance of Physical and Special sides.
Anyways, that's all I could think of. Any questions of comments? Leave them below. Hope I helped you a little bit! Good luck in competitive battling.