Preheat your oven to 375°F (190°C) and line a baking sheet with parchment paper.
Roll out the thawed puff pastry sheet on a lightly floured surface. Cut the pastry into strips about ½ inch wide.
Wrap each strip of puff pastry around a cream horn mold or a cone-shaped object, starting from the tip and wrapping towards the wider end. Brush the pastry with beaten egg.
Bake the pastry horns in the preheated oven for 18-20 minutes, or until they are golden brown and crispy. Remove from the oven and let them cool completely.
Once the pastry horns are cool, carefully remove them from the molds.