Mix the Dry Ingredients: In the bowl of a food processor, pulse the flour, sugar, and salt until combined.
Cut in the Butter: Add the cold cubed butter and pulse several times, until the mixture resembles coarse sand.
Add Wet Ingredients: Add the egg yolk and marsala wine. Pulse until the dough starts to form large clumps.
Knead the Dough: Turn out the dough onto a lightly floured surface. Knead for 3 to 4 minutes, until it becomes smooth and pliable.
Rest the Dough: Shape the dough into a disc, place it in a bowl, and cover tightly with plastic wrap. Let rest at room temperature for 30 to 60 minutes. This allows the gluten to relax, making the dough easier to roll out.
Heat the Oil: Fill a Dutch oven or heavy-bottomed pot with 5 to 6 inches of vegetable oil. Heat over medium-high until the temperature reaches 350°F to 360°F. Use a thermometer and adjust the heat as needed to maintain a consistent temperature.
Prepare the Cannoli Forms: Spray each metal cannoli mold with nonstick spray to prevent sticking.
Roll and Cut the Dough: Divide the dough into 2 or 3 pieces. Roll out one piece at a time on a lightly floured surface until very thin (about 1/16-inch thick). Cut into 4 1/2-inch circles using a biscuit cutter. Re-roll scraps to cut more circles.
Wrap Around Forms: Wrap each circle of dough around a prepared cannoli form. Brush one edge lightly with the reserved egg white, then press the opposite edge firmly over it to seal. Only one side needs egg wash to avoid the dough popping apart during frying.
Fry the Shells: Lower a few cannoli molds at a time into the hot oil. Fry, gently turning with long tongs to ensure even browning. Fry for 1 to 2 minutes or until golden brown.
Remove from Molds: While still warm, grip the mold with tongs and carefully slide the shell off using a kitchen towel. Transfer to a wire rack to cool completely.
Repeat and Cool: Continue until all shells are fried and removed from the molds. Allow all shells to cool fully before filling.
Notes
Make-Ahead Tips: You can make the dough up to 2 days in advance. Wrap tightly in plastic and store in the refrigerator. Let it sit at room temperature for about 20 minutes before rolling.Storage: Unfilled cannoli shells can be stored in an airtight container at room temperature for up to 3 days. They should be completely cool before sealing to prevent softening.Freezing: Do not freeze cannoli shells. They will become soggy once thawed.Reheating: Not recommended. These are best fresh or stored unfilled.Egg White Sealing Tip: Brushing both edges of the dough with egg white can cause the seam to burst open during frying. Stick to brushing one edge only.Form Removal Tip: Always remove the cannoli from the molds while warm. Once cool, the shells can stick and crack.