On a lightly floured surface, divide the dough into 4 pieces and shape into rectangles. Using a pasta machine, run 1 piece of dough at a time through the rollers, dusting with flour if it becomes sticky. Starting on the widest setting, continue running the dough through the machine, gradually narrowing the gap between the rollers until the dough is 1/16-inch (1 mm) thick.
Cut into 3-inch (7.5 cm) squares. Wrap each square around a cannoli mould and seal the overlapping corners with a bit
of the beaten egg white.
Working in batches, fry the cannoli shells for 1 to 2 minutes or until golden brown. Watch out for splattering. Drain the shells on the paper towels and remove the cannoli moulds while the shells are still hot. Let cool completely.
In a bowl, whip the mascarpone and sugar for 2 minutes. Gently fold in the lemon curd. Transfer to a pastry bag fitted with a large tip.
Pipe each cannoli shell with the filling. When ready to serve, dust with icing sugar. Keep the cannoli with mascarpone lemon cream in the refrigerator until ready to serve. They are best enjoyed the same day they were made.
Note from Ricardo
Both the cannoli shells and filling can be made in advance. The fried shells freeze well and can be filled right before serving.