Unroll the pastry and brush with beaten egg. Scatter over the cheese and pat down slightly. Cut the pastry into 10 strips and chill for 30 minutes.
Preheat the oven to 220ºC/fan 200ºC/gas mark 7. Take a chilled strip and roll in opposite directions to create a twist. Gently roll to create a long straw. Cut in half and transfer to a baking sheet. Bake for 10 minutes, then reduce the temperature to 200ºC/fan 180º C/gas mark 6 and bake for a further 5-10 minutes until golden. Cool on a wire rack.