01 -
Warm the milk until hot but not boiling. In a medium saucepan, whisk together egg yolks, sugar, vanilla extract, and flour until light and fluffy.
02 -
Gradually add the hot milk to the egg mixture while whisking continuously to prevent lumps. Place over medium heat and stir constantly until the mixture comes to a slow boil and thickens. Lower the heat and cook for a couple more minutes until it reaches your desired thickness.
03 -
Transfer the custard to a glass bowl, cover with plastic wrap (pressing it directly onto the surface of the custard to prevent a skin from forming), and let cool completely. Refrigerate for at least one hour.
04 -
Preheat the oven to 400°F (200°C). Sprinkle sugar on your work surface and on top of the puff pastry. Roll out the pastry to a rectangle about 9 by 12 inches. Cut into 12 strips, each about 1 inch wide.
05 -
Wrap each pastry strip around a horn-shaped mold (conical in shape), overlapping the pastry about halfway down the mold. Place on a parchment-lined baking sheet with the end of the strip facing down.
06 -
Beat the egg with 1 tablespoon of water to make an egg wash. Lightly brush each pastry cone with the egg wash, being careful to keep the egg wash away from the metal mold (which would make it harder to remove after baking).
07 -
Bake at 400°F (200°C) for 15-20 minutes until golden brown. Let cool for a few minutes, then gently remove from the molds. If the pastry sticks, gently squeeze the mold to make the circumference smaller and twist gently until it releases.
08 -
Just before serving, fill the cannoncini with the chilled custard using a piping bag. Dust with powdered sugar if desired.