6. Slowly pour the hot milk over the egg mixture, whisking constantly to temper the eggs. Pour the mixture back into the saucepan and cook over medium heat, stirring constantly, until it thickens and comes to a simmer. Cook for an additional 1-2 minutes, then remove from heat.
7. Stir in the vanilla extract and heavy cream. Transfer the cream filling to a bowl, cover with plastic wrap (pressing it directly onto the surface to prevent a skin from forming), and let it cool completely.
8. Once the pastry and cream filling have cooled, use a piping bag to fill each cannoli shell with the prepared cream. Dust with powdered sugar before serving.