Warm the milk until hot but not boiling. In a medium saucepan, whisk the egg yolks, 1/2 cup sugar, vanilla extract and flour until light and fluffy. Add the milk a little at a time, whisking to prevent lumps.

Set the pan over medium heat and stir continuously until the cream reaches a slow boil and thickens. Lower the heat and cook for a couple more minutes, stirring so it does not stick, until it reaches the thickness you want. Transfer to a glass bowl, cover with plastic wrap, let cool, then refrigerate for at least 1 hour.

Heat the oven to 400°F. Sprinkle some of the 1/4 cup sugar on the counter and the rest over the puff pastry. Roll the pastry into a rectangle about 9 by 12 inches and cut it into 12 strips about 1 inch wide.

Wrap one strip around each cone-shaped horn mold, overlapping the pastry by about half its width. Place the wrapped molds seam-side down on a parchment-lined baking sheet.

Beat the egg with 1 tablespoon water and lightly brush the pastry, keeping the wash off the molds so the horns are easier to release. Bake at 400°F for about 15 to 20 minutes, until golden on top.

Let the horns cool for a couple of minutes, then gently remove the molds. If one sticks, press the mold inward slightly to reduce its circumference and gently turn it until it releases. Let the shells cool before filling them with the chilled cream just before serving. Dust with powdered sugar if you like.