Break the egg in to a small bowl and add a splash of milk before whisking together. (You can use oil if you don't have milk).
If your frozen puff pastry came in a block, not ready-rolled, roll out to a rectangle about - 26cm x 38 cm (10 inches x 15 inches), between 2 sheets of baking/parchment paper. If ready-rolled, open out and leave on the paper it comes with. See Photo 1 above.
Next sprinkle the grated/shredded cheese on one half of the pastry. See Photo 2 above.
Fold the pastry on top of the cheese side, fold over the ends and squeeze the ends together. Then roll out to a rectangle a little smaller than before - 21 x 33cm (8¼ x 12½"). See Photo 3 above.
Cut the pastry block in half and then cut 8 strips in both halves. I like them to be the same size so marked off where to cut, so they would be even but this is not essential. The strips of pastry were about 2½ x 16½cm (1 x 6¼") in size. This will made 16 strips. See Photo 4 above.
Take one strip of pastry and brush whisked egg on top, before sprinkling on sesame seeds and pressing in place. You can omit the seeds if you like, but still add the egg wash for colour and flavour. Lift the pastry over and repeat on the other side. See Photo 5 above.
Place on top of the prepared baking sheet/tray and use two hands to twist the pastry. Repeat with the rest of the pastries, leaving a little space in-between each. See Photo 6 above & 7 below.