Take out a sheet of puff pastry to let it thaw enough that you can unfold it without it breaking apart. Once thawed, cut the pastry sheet into nine equal strips. Set aside.
Spray metal pastry cones with non-stick spray. If you don't have pastry cones, make your own! Rip off 8-12" long sheets of aluminum foil, fold in half, and roll each into a cone shape.
Wind a strip of pastry around each cone, starting at the pointed end and making sure to overlap layers. After you've reached the end of the pastry, gentle press the end to the top layer of pastry to prevent it from popping off while baking. Place them in the freezer for 20-30 minutes so that they'll hold their shape while baking.
Preheat oven to 400°F and prepare a baking sheet with a non-stick silicon mat or non-stick spray. Place each pastry, seam side down, 2-3" apart on baking sheet (you may need multiple baking sheets depending on their size - remember, the pastries will expand as they bake and you don't want them to touch!).
Create an egg wash by whisking together one egg with a teaspoon of water in a small bowl. Brush the top (and only the top!) of each pastry with egg wash to give them a nice golden brown sheen.
Place ¼ cup powdered sugar in a flour sifter and crank the sifter to cover the top of each pastry.
Bake for 20 minutes or until the tops are golden brown. Remove from the oven and allow to cool on baking sheet with the metal forms still inside.
While the pastries are cooling, prepare the cream filling. In a large bowl, whip the heavy cream until it forms soft peaks. Add vanilla and remaining ¾ cup powdered sugar. Whip until it forms stiff peaks. Taste test it and add more powdered sugar if you'd like it a little sweeter.
Once pastries are completely cooled, fill a piping bag with the cream and squeeze with firm pressure into the pastry cavities. If desired, top with a little powdered sugar or drizzled chocolate. Keep refrigerated and enjoy!