Pre heat oven 200 C. Spray 12 metal cream horn cones with oil.
Cut each sheet into 12 even sized strips about 2 cm wide.
Starting at the tip, wind a strip of pastry around the cone, slightly overlapping as you go. Using a second strip of pastry, continue to the end. Repeat with the other 11 cones. Place on a baking paper lined tray.
Brush the pastry all over with the egg wash and dust generously with icing sugar. Bake in the centre of the oven for 10-12 minutes until puffed and golden.
Leave for a few minutes to cool then twist the pastry off the cone. Transfer to a cooling rack.
When cold fill with whipped cream and a dollop of jam. Dust lightly with icing sugar to serve.