Puff Pastry Cannoli Cones Recipe. Simply wrap foil around ice cream cones to create pastry molds. Spritz with baking spray, wrap with Puff Pastry and bake. Once cool, pop the Puff Pastry cones from their molds and fill to your heart’s desire. We used a ricotta cannoli cream, complete with mini chocolate chips! You can also fill with pudding, whipped cream or even ice cream! Garnish with a drizzle of chocolate, chopped nuts, or colorful sprinkles…the sky’s the limit with these versatile treats.