Pre-heat oven to moderate (180 degrees celsius/360 degrees fahrenheit, fan-forced).
Allow pastry sheets to thaw.
Grease a baking tray and the 8 cream horn moulds.
Cut pastry into 2cm wide strips using a sharp knife.
Using a pastry brush and some cold water, moisten the long edge of the pastry strip. Starting at the point of the cone, gently wind the pastry strip around the cone (taking care not to stretch or damage the pastry and overlapping the strip with the previous layer). The moistened edge should help hold the overlapping parts of the pastry together.
You'll need about two strips for each horn, so join the end of one strip to the start of another with a little water and keep winding. You should finish at least ½cm before the end of the mould (otherwise they will be hard to remove once cooked). When finishing off the last pastry strip, wind the pastry so that it meets with the previous layer, forming a circle at the top of the horn rather than seeing the short edge of the strip.
Whisk egg with a teaspoon of water and brush the pastry lightly and evenly with the egg wash.
Place horns at least 4 cm apart on the greased baking tray. Make sure you place the pastry join side down on the baking sheet.
Bake for 20 minutes and remove from oven. Allow to cool a little (about 5 minutes) so that you can remove the horns from the moulds. Place back on baking tray and bake for another 5-10 minutes or until a golden colour.
Allow to cool completely on a wire rack before filling or storing.