In a large bowl, whisk together flour, ¼ cup sugar and salt.
Melt butter in the microwave at 50 percent power for about 40 seconds. Then use a fork to give it a stir and to help the chunks melt down. This allows it to melt but doesn't become too hot, so it cools quickly. In a separate bowl, use a fork to beat one egg.
Add the milk mixture, melted butter and beaten egg into the flour mixture and use a fork to mix it all together until a soft dough forms. It will be very soft! Turn out the dough onto a floured surface and knead for 2 minutes. Only use about 2-3 tablespoons of flour for dusting and kneading; the dough will become less sticky as you knead.
While the dough is proofing, let’s make our cone forms using foil. Tear off a square piece of aluminum foil.
Preheat oven to 350 F. Make sure your rack is positioned at the bottom third of the oven. We want plenty of head space so these cones can bake standing.
Once you've got all the foil cones wrapped, let sit at room temp to rise a bit more, about 20 minutes.
Make an egg wash with the other egg and 1 tablespoon of water. Brush the cones with the egg wash.
Bake for 15-18 minutes. The cones should be golden, and the tips will be a bit darker.
Remove the cones from the oven and let cool for about 5 minutes. Remove the foil cones (be careful — the inside will be really hot! Arrange them on a cooling rack standing up like Christmas trees.
When the cones are cool, we’re ready to line the inside with the good stuff! Melted chocolate or candy coating is a great option to spread all over the inside of the cone. It helps to make the cones more sturdy as well. Other great options are Nutella or nut butters for added support and flavor!
Next we'll roll the cones around in cinnamon sugar.
Melt butter in the microwave. Mix sugar and cinnamon together on a plate or container large enough for a cone to fit. Lightly brush the outside of the cone with melted butter and roll around in the cinnamon sugar mixture.
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