In the bowl of a food processor, pulse together flour, sugar, and salt until combined. Cut the cold butter into small pieces and sprinkle over the flour mixture. Pulse the food processor several more times, until the mixture resembles coarse sand and the pieces of butter are no longer visible.

Add egg yolk and marsala wine to the flour/butter mixture and pulse until the dough comes together, forming large clumps.

On a lightly floured surface, turn out the dough and knead for several minutes, until it is smooth and pliable. Pat the dough into a round, place in a bowl, cover with plastic wrap, and allow to rest for 30 minutes to 1 hour.

Fill a large Dutch oven 5-6 inches deep with vegetable oil or other high smoke point frying oil. Heat over medium high until the oil reaches 350-360°F. *You will need to adjust the burner temp regularly during frying to maintain the oil’s temperature in this range.

Lightly spray a bit of non-stick oil on cannoli molds to ensure the cannoli shells do not stick.

Divide the dough into 2 or 3 smaller pieces. Using a rolling pin, roll out the dough as thinly as possible.

Use a 4 ½-inch round biscuit cutter to cut as many circles from the dough as possible. Gather scraps and re-roll to cut additional circles. Gently wrap one circle around each cannoli mold/tube, using a bit of the reserved egg white to seal the two edges where they overlap on the form. (See NOTES)

Carefully lower the cannoli shells down into the hot oil. Fry, gently moving the tubes around in the oil to ensure the shells brown evenly on all sides. Lift from the oil and transfer to paper towels to drain grease.

With a kitchen towel to grip the cannoli in one hand and a pair of tongs in the other hand, grip the cannoli form and pull it from the center of the cannoli shell. This should be done while the cannoli is still warm.

Transfer the cannoli shells to a wire cooling rack and allow them to cool completely before adding any filling. Unfilled shells may be stored in an airtight container for a day or two.