Millefoglie (Mille-Feuille) Pastry With Zabaglione Filling

1. Gather the ingredients.

2. Begin by preheating your oven to about 460 F / 230 C.

3. Cut the puff pastry into three equally sized pieces, and roll them out to somewhat less than 1/3-inch thick—the sheets can be round or square, as you prefer.

4. Since the sheets will shrink (widthwise) as they cook, roll them out somewhat larger than you want the finished cake to be. They'll shrink less if you let them rest for 30 minutes before baking.

5. Once you've rolled out the first piece, bake it for 20 minutes in the oven on a baking sheet lined with parchment paper.

6. Meanwhile, roll out the second piece, then bake it the same way while you roll out the third piece.

7. While the last piece of pastry is baking, start preparing the zabaglione: Mince the almonds and lightly toast them in a skillet over low heat. Put the yolks in a small saucepan, preferably of untinned copper, stir in the granulated sugar, and continue stirring with a wooden spoon until the mixture is almost white.

8. Next, stir in the Marsala, a little bit at a time. Set the saucepan over a very low flame or on top of a double boiler and stir gently until the cream has thickened, then pour it into a clean bowl and let it cool, stirring occasionally.

9. When all three pieces of baked puff pastry have cooled to room temperature, dust one of them lightly with confectioners' sugar (it will be the top piece).

10. Crush the Savoiardi and combine them with the minced, toasted almonds.

Assemble the Millefoglie

1. Only assemble just before serving, so that the pastry will remain crisp.

2. Pour the chilled cream into a bowl and whip it to firm snowy peaks, then gently fold it into the cooled zabaglione.

3. Place the first sheet of puff pastry on the serving platter or tray.

4. Spread 1/3 third of the zabaglione-cream filling over it, lay the second sheet of pastry on top, and spread half the remaining filling over it. Cover with the third piece of puff pastry (the one dusted with confectioners' sugar).

5. Use a spatula to spread the remaining filling over the sides of the cake, then dust the sides with the almond-Savoiardi mixture so as to cover the cream. Remove any stray crumbs from the serving plate and set the cake in a cool place until serving time.

Note: The cream suggested can be substituted by whatever custard you refer, or even simple whipped cream, layered with fresh berries. Feel free to add fresh fruit, marmalade, jam, or Nutella between the layers of cream as well. You can also slice the millefoglie into 1- by 2.5-inch slices with a very sharp knife, and serve them individually.