Warm up the milk until hot (not boiling).

In a medium sized pan, whisk the egg yolks with the sugar, vanilla extract, and flour until light and fluffy.

Add the milk gradually while whisking to avoid lumps.

Place the pan over medium heat and stir continuously until it reaches a slow boil, then lower the flame and cook for a couple more minutes until thickened.

Pour the cream into a glass bowl, cover with plastic wrap, and let it cool down. Refrigerate for at least one hour.

Preheat the oven to 400°F (200°C).

Sprinkle sugar on the counter and on top of the puff pastry and roll it out to a rectangle about 9 by 12 inches.

Cut into 12 strips (about 1 inch thick).

Roll each strip onto a horn mold, overlapping about half the length.

Place on a baking sheet lined with parchment paper with the seam side down.

Beat one egg with one tablespoon of water and brush each pastry cone with the egg wash, keeping it away from the mold.

Bake at 400°F (200°C) for about 15-20 minutes until golden on top.

Let them cool for a couple of minutes and gently remove from the mold.

Before serving, fill with the cream using a piping bag and sprinkle with powdered sugar if desired.