Preheat oven to 400°F.  Line a baking sheet with a silicone mat or parchment paper.

Using your fingers or a paper towel, rub down cream horn molds with shortening.  Set aside.

Carefully unfold the Puff Pastry Sheets onto a floured surface.  Cut a line where there are creases.  You will have 3 pieces.  Cut each of those in half.  Then cut in half again.  You will end up with 12 ribbons of pastry per sheet (24 total).

Carefully wrap the strips of Puff Pastry Sheets around molds with a slight overlap.  Gently press the seams together, then place on the prepared baking sheet.

Using a pastry brush, lightly coat each pastry in egg wash, then sprinkle with granulated sugar.

Bake for 16-18 minutes until golden brown.  Remove from oven and allow them to completely cool.

While the pastries are baking, make the cream cheese filling.

In a medium bowl, cream together the cream cheese and powdered sugar.  Add vanilla and 1 Tbsp. milk.  Mix until smooth.  Transfer to a piping bag (or zip-top bag), snipping off the end (or corner).  Note: if piping is not your thing, you could spoon the filling into the cream horns.

When pastries are cool, pipe a small amount of cream cheese filling into the bottom of the horn.  Then fill with apple pie filling (approximately 2-3 Tbsp.).

Just before serving, drizzle with warmed caramel and more cream cheese filling.  Enjoy!