Special equipment: heavy-duty aluminum foil
Put an oven rack in the lowest position with a 6-inch clearance above and preheat to 400 degrees F. Line a baking sheet with parchment.
Cut six 6-inch squares of heavy-duty foil and wrap each sugar cone to cover completely, tucking in any excess. Spray the outside of the foil generously with cooking spray and set aside. Beat the egg with 1 tablespoon water in a small bowl.
Unfold the puff pastry onto a work surface and cut it into 3 even rectangles using the natural fold lines as your guide. Cut each rectangle into four 9-inch long strips that are 3/4 inch wide. You should have 12 strips (2 strips per cone).
Wrap the cones in puff pastry: Starting at the pointed end of the cone, wrap 1 puff pastry strip around and down the cone, overlapping slightly, to cover. Brush the end of the strip with some egg wash, stick a second strip to it and continue wrapping until the cone is completely covered. Seal the end of the second strip of dough by tightly pressing it to some of the wrapped puff pastry. Use some egg wash to help the strip adhere. Repeat with the remaining cones and strips.
Brush the puff pastry all over with egg wash and put it pointed-end up on the prepared baking sheet. Bake until the puff pastry cones are golden brown, about 20 minutes. Let them cool completely on the baking sheet on a wire rack, then remove the foil-lined sugar cone from inside each and discard. Fill the puff pastry cones with desired fillings such as: berries and cream, no-bake cheesecake filling, chicken salad, scrambled eggs and smoked salmon.
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