Preheat the oven to 200°C (400°F/Gas 6). Lightly grease two baking trays.
Cut the pastry sheets in half and lightly brush the edges with some of the beaten egg.
Mix half the remaining egg with the remaining ingredients in a large bowl, then divide into six even portions. Pipe or spoon the filling down the centre of each piece of pastry, then brush the edges with some of the egg. Fold the pastry over the filling, overlapping the edges and placing the join underneath. Brush the rolls with more egg, then cut each into six short pieces.
Cut two small slashes on top of each roll, place on the baking trays and bake for 15 minutes. Reduce the oven temperature to 180°C (350°F/ Gas 4) and bake for another 15 minutes, or until puffed and golden.