Preheat oven to 400°F (200°C). Lightly flour your surface and roll out the puff pastry into a 10x10 inch square. Cut into 6–8 strips (about 1 inch wide). Lightly grease metal cream horn molds or make your own using foil.
Wrap each puff pastry strip around the mold, slightly overlapping as you go. Mix the egg and water, then brush the pastry with egg wash. Sprinkle with granulated sugar for a golden, sweet crust.
Place the pastry horns on a baking sheet lined with parchment paper. Bake for 12–15 minutes, or until golden brown and puffed. Remove from the oven and let cool slightly before gently removing them from the molds.
Whip the heavy cream, powdered sugar, and vanilla until stiff peaks form. Transfer to a piping bag and fill each cooled pastry horn with the whipped cream. Serve immediately or refrigerate for up to a few hours before serving.