I've had quite successfull attempts at making them at home, actually my first blog post was about them, as I love them so much! You can see the recipe here: http://dulcisfundo.blogspot.com/2010/04/pasteis-de-nata-portuguese-custard.html They also sell them in the Borough Market in one of the cake/sweets stands, they're quite nice, if you're passing by, buy a couple and try them. I'm quite lucky to work near the market, so I always get something new to try every week (and subsequently I'm getting bigger and bigger :oP)