Keep these things in mind as you experiment with the accompanying recipes and you may never buy them at a bakery again:
Fresh is best. In a perfect world, the shells would be freshly fried. Luckily, fried cannoli shells store well both at room temperature and in the freezer. If you’re not serving them within a few days, freeze the shells for maximum freshness. You can make the filling a day or two in advance and refrigerate it, but remember: Don’t fill the cannoli until just before serving time.
Know your dough. The dough for cannoli shells should be similar to pasta dough in texture — firm but with some give. Rolling it out can be tedious, as it tends to contract. A pasta machine makes the job much easier. Be sure to roll the dough very thin — to about 1/16-inch thickness. This will yield shells that are sturdy enough to hold the filling but still delicate and flaky. The cut rounds of dough will stretch slightly as you wrap them around the metal tubes; that is okay.
Fry right. Use a thermometer to monitor the oil so it remains at 375 degrees; too hot and the shells will puff up too much, too cool and they will be greasy. Use tongs to gently move the dough-wrapped metal tubes around in the oil to maintain even frying. Use caution when sliding the fried shells off the hot tubes. I let them cool a few seconds and then use tongs and my fingers to very gently coax them off. If your fingers are not used to handling heat, protect them with paper towels as you work.
Drain it. Cow’s-milk ricotta tends to be weepy, which could make for a runny filling; be sure to drain the cheese overnight in a cheesecloth-lined strainer and squeeze out any excess moisture.
Strain it or whip it. For a smooth filling, pass the drained ricotta through a fine-mesh sieve. This takes some elbow grease but yields the smoothest texture. Alternatively, use a mixer to whip the ricotta with sugar.
Easy on the sugar. Too much masks the delicate, milky flavor of the ricotta and makes for a looser filling. You can use granulated, superfine or confectioners’.