Preheat your oven to 400°F (200°C). Roll out the puff pastry sheets on a lightly floured surface until they are about 1/8 inch thick. Cut the pastry into long triangles, approximately 3 inches wide at the base and 7 inches long.
Take your cream horn molds and lightly grease them. Starting from the base of the triangle, wrap the pastry around the mold, overlapping slightly as you go. Moisten the tip of the pastry with a little water to help it stick. Repeat this process until all the pastry is wrapped around the molds.
In a small bowl, whisk together the egg and water. Brush this mixture over the wrapped pastry to give it a golden finish when baked.
Place the cream horn molds on a baking sheet. Bake in the preheated oven for about 15-20 minutes or until the pastry is golden brown and puffed up. Remove from the oven and let them cool for a few minutes before carefully removing the molds.
While the pastry cools, whip the heavy cream in a mixing bowl until soft peaks form. Gradually add the powdered sugar and continue whipping until stiff peaks form. Be careful not to over-whip.
Once the pastry has cooled completely, fill a piping bag with the whipped cream. Pipe the cream into each horn, filling them generously.
Lightly dust the filled cream horns with powdered sugar for an elegant presentation. Serve them immediately or store them in the refrigerator until you’re ready to enjoy.