When the dough has rested, roll it out on a lightly floured surface into a very thin sheet, about 1/8-inch thick. (If you have a pasta machine, you can use it for this step, rolling the dough into several long, thin strips.)
Pour enough oil into a deep pot to fry 2 to 3 cannoli shells at a time. Begin heating the oil.
Cut the dough into either 3 1/2-inch squares or 4-inch-diameter circles (either will work).
Roll the squares or circles around lightly greased cannolo forms. If you made squares, start with one point in the middle of the tube and roll around until the opposite point overlaps it. Brush the seam with lightly beaten egg whites to seal them.
When the oil reaches about 390 F, you are ready to start frying. (If you are using metal forms, you can fry the dough while it is still on the form: just gently flare the edges out a bit at each end so that the oil can penetrate between the dough and the form. If you are using a DIY form, you’ll need to gently slide your rolled shells off the form before frying.)
Fry the shells, 2 to 3 at a time (they should be floating) until they are a dark golden-brown, 4 to 5 minutes. They should bubble up and blister a bit as they fry.
Drain the fried shells on a paper-towel-lined tray or platter. Repeat with remaining shells.
If you have fried them on the forms, once cooled enough to handle, carefully and gently slide the cannoli shells off of the metal forms and let shells cool.