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To make the pizzelles, mix together all ingredients (dough will be sticky) and cook according to your pizzelle maker's instructions.
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To make the filling, whip the heavy whipping cream until soft peaks form.
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In a separate bowl, use a mixer to beat pumpkin puree, ricotta, sugar, cinnamon and vanilla until just combined. Fold in the whipped cream.
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Pipe the filling into the cooled cookies. Store in the refrigerator and serve cold.