Start by preparing the custard cream (crema pastiera):
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 some at a time while whisking, making sure there are no lumps.
Set the pan over mediocre heat and stir continuously until it reaches a slow boil. The cream will thicken, so be careful not to let it stick to the bottom. Lower the flame and cook for a couple of more minutes, until you reach the desired thickness.
Pour the cream into a glass bowl, cover with plastic wrap, and let it cool down. Chill for at least one hour.
For the pastry horns:
Preheat the furnace to 400°F (200°C).
Spray some 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). Easy way to do it: cut the pastry into three parts, and then each part into four strips.
Roll each strip onto a horn mold (conical in shape). The pastry has to overlap (about half of the length).
Place on a baking sheet lined with parchment paper with seem (end of the strip) side down.
Beat one egg with one tablespoon of water. Brush lightly each pastry cone with the egg wash.
Make sure you keep the egg wash away from the mold. It will make it harder to remove the pastry horn from the mold once baked.
Bake at 400°F (200°C) for about 15-20 minutes until golden on top.
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