Leave the puff pastry to loosen up. Roll it out thinly and cut out strips 3/4″ (2 cm) thick. Wrap the strips around metal cones that you've oiled.
Arrange in a tray and bake in preheated 392°F (200 °C) oven until ready.
Beat the eggs, sugar and flour with 2-3 tbsp of the milk until homogeneous. Let the rest of the milk boil on the stove, add the butter to it.
Once the milk reaches boiling point pour in the egg mixture and add the vanilla. Boil another 4-5 min. until thickened. Remove from the stove and leave to cool. Fill the cones with the cream and sprinkle with ground walnuts.