In a large bowl, add the flour and sugar, whisk to combine.
Cut in the cold butter with your hands. This means that you rub the butter between your fingers in the flour mixture until it breaks down into pea sized bits. The flour will look sandy at this stage.
Now, make a well in the flour mixture. Pour the marsala, egg, and egg yolk into the well. Save the extra egg white, we will use it later.
Beat the liquid ingredients in the middle with a fork, gradually allowing more and more of the flour around it to be incorporated in it, like making a pasta dough.When most of the flour is incorporated, begin to knead it for about 10 minutes, or until it becomes smooth and not sticky.
Wrap the dough in plastic wrap and let it sit in the refrigerator for at least 30 minutes.Once the dough has rested in the fridge, it is time to roll it out. It should be smooth and supple at this stage.
Before rolling out your dough, put 2 lbs of lard into a heavy bottomed pot and allow it to heat until it reaches 350ºF. While the oil is heating, divide the dough in half and roll into a large slab to about 1/16" thickness, we want the dough to be REALLY thin!Use the cookie cutter to cut out the dough into circles. Repeat with the other half of the dough.
Wrap the dough circles around the cannoli molds, and brush one end with the reserved egg white from earlier and place the other end over the egg white. This will create a seal along the seam of the shell so that it holds its shape when frying.
Place cannoli in the heated oil, don't overcrowd your pot! When I make these, I will not exceed frying more than five at a time. Fry for 2-3 minutes per side before rotating and allowing the other side to fry for 2-3 more minutes. The shells should be a bright golden brown.
Remove from oil and let cool on a rack for at least 5 minutes before removing the cannoli molds. Be CAREFUL! The cannoli molds will be incredibly hot.
Repeat frying until all shells have been made