Cut pastry dough into ½'' strips. Wrap dough around tin pastry horn molds, beginning at the pointed end, overlapping and stretching slightly as you work your way to the open end.
Place wrapped horns on a cookie sheet lined with parchment.
Bake at 400ºF for 15 minutes.
Remove horn molds from pastry as soon as possible after baking. Let cool.
Combine pudding mix, milk and Cool Whip.
Fill a cookie press with mixture and fill horns. Keep refrigerated until ready to serve.