Filled Cookie called Ladylocks (Cream Horns)

From the Website: http://www.christmas-cookies.com/recipes/recipe227.easy-clothespin-cookies.html

Cookies

Also commonly known as Ladylocks.

3 packages Pepperidge Farms Frozen Puff Pastry, thawed
2 pounds powdered sugar
2 cups Crisco shortening
1 teaspoon vanilla
3/4 cup milk
7 oz. jar marshmallow cream
food coloring (optional)

Cream Horn mold similar to

DIRECTIONS:

Preheat oven to 450 F. Thaw the pastry and roll out on a lightly floured surface until it forms a 12"x10" rectangle. Cut into 1/2"x6" long strips using a pizza cutter. Wrap each strip around a cone-shaped cookie form (available here), moistening slightly with water and overlapping the edges slightly. Bake for 5 minutes then turn oven down to 375 and bake for 10 more minutes. Carefully remove from forms and cool completely.

With an electric mixer on high speed, beat together sugar, Crisco, vanilla, and milk for 10 min. Add marshmallow cream and beat until combined. Color with food coloring, if desired. Using a pastry bag, pipe filling into cooled cookies. Sprinkle with sifted powdered sugar before serving. Store cookies in an airtight container. Cookies are best if refrigerated until used. May be frozen.

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