To make the cream, pour half of the milk into a pan set over a medium heat.
Add the sugar and leave to simmer for 2-3 minutes for the sugar to dissolve.
Mix the other half of milk with the flour, whisking well to avoid lumps forming.
Pour the flour mixture over the sugar mixture together with the lemon zest and juice, and whisk well until you get a thick cream.
Remove from the heat, and allow it to cool for 5-10 minutes.
Cut the butter into cubes, and add it to the cream, mixing well to incorporate it.
Leave the cream to cool completely.
To make the horns, cut the puff pastry into strips of about 2cm wide, and 15-20cm long.
Starting from the bottom up, roll the pastry strips around the cones, making sure there are no gaps in between.
Repeat to make 9 horns.
Bake in the preheated oven at 180 degrees Celsius (350 Fahrenheit) for 15-20 minutes until golden.
Remove from the oven and leave to cool completely, then remove the moulds carefully.
Put the cream into a piping bag fitted with a star nozzle, and fill the horns.
Sprinkle with icing sugar.