Pour milk and water into a saucepan and heat to a scald. Pour this into a large bowl, allow to cool to lukewarm.
Add in oil, sugar and salt; mix with a wooden spoon till well blended. Add in beaten egg and flour (mixed with the yeast) and mix till smooth.
When the mixture becomes to hard to mix, pour out onto a well floured surface and knead for 8 minutes.
The dough will become smooth and elastic. Add just enough flour that the dough no longer sticks to your hands while kneading.
Add a tablespoon of oil to a clean bowl and place the dough into the bowl. Turn over a few times to lightly coat all sides with oil.
Cover with plastic wrap and allow to rest till double in bulk, about 2 hours.
Remove dough and knead a few minutes to release the gas.
Now cut the dough into 8 pieces. use a scale to make sure each piece is equal in weight.
Allow to rest for 5 minutes. Take each piece and roll into a rope.
Roll ropes around the greased cream horn tubes. Place onto a cookie sheet lined with parchment paper and cover with plastic wrap.
Allow to rest for 30 minutes. Bake in a preheated oven at 180°C for 20 - 22 minutes or till golden brown.
Place onto a wire rack and allow to cool for a couple minutes before removing the tubes.