Chef Josh Elkin helpfully provides a step-by-step instructional video to show you how to make this Oreo that you'll definitely take instead of the gun. First, he separated the Oreo cookies from the creme. Then he powdered the chocolate cookies and added fluor, shortnening, and an egg to make a dough. After shaping the dough around cannoli tubes, he deep fried it to create the shells.
With sugar, vanilla extract, and water, Elkin formed a frosting, which he piped into the cannoli shells. Unless I missed a step, he didn't use the creme filling, so you have something extra to eat after you fix the cannolis.