Attempt 1 (July 2012)–semi-success.
Recipe for custard from: http://leitesculinaria.com/7759/recipes-portuguese-custard-tarts-pasteis-de-nata.html
For dough, made puff pastry from: notwithoutsalt.com
The puff pastry turned out really good, and the nata de bolos were tasty, but I think the dough needs to have more of a croissant texture than puff pastry texture. It was yummy, nonetheless.