4. Place the molds on a baking sheet lined with parchment paper. Bake for 15-20 minutes, or until golden brown and puffed. Remove from the oven and let them cool for a few minutes before gently removing the pastry from the molds. Let them cool completely on a wire rack.
5. For the cream filling, heat the milk in a medium saucepan over medium heat until it starts to simmer. In a separate bowl, whisk together sugar, cornstarch, and egg yolks until smooth.
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.