Here documents: do they work in FreeBSD make?

[Yuri]

This syntax doesn't work for me:
         @cat <<EOF >${MY_DIR}/my-file \
           #!/bin/sh \
           \
           echo 'Hello World!'  \
           EOF \

${MY_DIR}/my-file is created empty.

Could anybody give me a hint what am I doing wrong?

Thanks,
Yuri