Add flour, sugar and salt to your food processor. Pulse about 12 times in short bursts.
Add butter and pulse in short bursts just until there aren't clumps of butter.
Add the marsala wine (or your substitute) and whole egg. Pulse to mix well, while adding additional wine to bring dough together in a slightly soft mass (you shouldn't need more than a few extra tablespoons of wine.
Shape the dough into a round ball and then transfer to an oiled bowl. Cover and let rest at room temperature at least 30 minutes and up to 2 hours.
When you're ready to make the cannoli shells, heat a large pot with 1 1/2-inches vegetable oil to 375 degrees. Use a candy thermometer to ensure you maintain this heat throughout cooking.
Start with half of the dough and keep the rest covered in the bowl.
On a very well flour surface, roll out the dough very thinly - almost paper thin. Remember, the dough will expand when it is frying and we don't want our shells to be too thick. This is a delicate pastry.
Use a 4-inch cookie cutter to cut dough into rounds.
Spray cannoli forms with cooking spray then wrap individual dough circles around each cannoli form, while brushing about 3/4-inch of one end lightly with egg white (use a pastry brush or just your fingertip).
Press edge to to opposite side.
Using metal tongs, carefully immerse shell in preheated oil and fry until golden brown and crisp, about 1 - 2 minutes. Remove from oil using metal tongs to grasp the cannoli shell (let oil from inside forms drain back into pot), transfer to paper towels to drain. Depending on your pot, you'll be able to cook 4 to 8 at a time.
Let the cannolis cool for about 5 to 10 minutes and then use a folded paper towel or kitchen towel to hold one end of the cannoli rod while you gently slide the cannoli shell off the rod. Let the rods cool and repeat process with remaining dough circles.
You can use dough scraps. Just make sure to shake off the excess flour, press back together, cover in a bowl, and let relax at least 10 minutes before reusing.
Allow to cool on a wire rack and then fill with cannoli filling and decorate as desired.
You can make the cannoli shells ahead of time and store in the freezer for up to a week.