Cut a paper into 12 rectangle 3" x ½" strips, write messages on them to make fortunes. Preheat oven to 350 °F.
Place 2 tbsps of butter in a small bowl, microwave for 20 seconds until melted. Add all the batter ingredients (egg whites, vanilla extract, melted butter, milk, sugar, all purpose flour, and cornstarch) to a large bowl. Mix with a whisk until completely combined. The batter should look like condensed milk.
Line a baking pan with a silicone mat or parchment paper. Spoon about 1 tbsp of the batter onto the parchment paper, and spread the batter with the back of the spoon into a 4" circle. (Bake 1 or 2 at a time. The fortune cookies turns hard quickly after they cool down. You won't be able to shape them once they turn hard.)
Bake on at 350 °F for 8-9 minutes, until the edge turn slightly brown. (If the edge is not brown yet, bake them for 1 or 2 more minutes, otherwise the cookies might be undercooked and they could break easily when you shape them.)
Remove baked fortune cookies from the oven. Quickly place a fortune strip (or marshmallow filling, see instructions in the article above) in the center of the cookie, fold the cookie in half, place the fortune cookie on the rim of a bowl or mug, fold the two corners down to get the fortune cookie shape. (You will have to finish these steps quickly when the fortune cookies are still hot, otherwise they will crack. If you feel they are too hot to be handled, gloves can help a bit.)
Place the shaped cookies in a muffin tin, allow them to cool down and hold the shape. Repeat with the remaining batter.