Remove puff pastry sheets from the freezer and allow them to thaw for at least 15 minutes before working with them. You should be able to unfold the puff pastry without it cracking, but the pastry should still be very firm.

Preheat the oven to 400°F. Line two baking sheets with parchment paper and set aside. Spray 18 cream horn molds lightly with non-stick cooking spray (the kind with flour in it works well here).

Unfold one sheet of puff pastry at a time. Cut into 9 equal strips. I like to use the folds that are already in the sheet to divide the sheet into thirds and then cut each third into three pieces. A pizza cutter works great for cutting puff pastry.

Use a pastry brush to brush a light coating of water down one side of a puff pastry strip. Place the cream horn mold at the end of the strip. Turn the mold while wrapping the pastry strip around the mold, overlapping the pastry by about ¼ inch. Pinch the tip of the mold to form the cone. Repeat for the remaining strips.

Prepare the egg wash by whisking together the egg and 1 tablespoon of water.

Place the cream horns on the prepared baking sheet, leaving ample room between each mold to allow the pastry to puff. Brush with the egg wash.

Bake for 15 minutes, turning the pan halfway through cooking, until the puff pastry is golden brown.

Repeat with the second sheet of puff pastry dough if desired.

When the cream horns come out of the oven, allow them to cool slightly, and then use a clean kitchen towel to gently twist the mold out from the pastry and set them on a cooling rack. Leave the cream horns to cool completely.

Prepare the filling by whipping the heavy cream until soft peaks form. Add the powdered sugar and continue whipping until stiff peaks form. Transfer whipped cream to a piping bag. Pipe cream into the cooled cream horns.

Dust with powdered sugar and serve.