Preheat the oven to 220°C/200°C fan/gas mark 7 and line a large baking tray with baking paper.
Wipe any excess dirt off the mushrooms and place 5 of them in an ovenproof dish. Drizzle with olive oil and season with salt and pepper, then bake in the oven for 15 minutes. Then remove the mushrooms from the oven and set aside, leaving the oven switched on for later.
Meanwhile, quarter the remaining mushrooms, then peel and roughly chop the onions and add both to a food processor along with sage leaves, walnuts, ½teaspoon of salt and 1teaspoon of pepper. Process to form a smooth paste, then add to a frying pan over a medium-high heat and fry for 15 minutes, stirring frequently. Set aside to cool for 10 minutes.
Roll out 1sheet of pastry onto the lined baking tray. Spread a third of the paste down the middle of the pastry lengthways, spreading it 5cm wide and leaving 5cm clear at each end.
Turn the baked mushrooms upside down to remove any excess juices, then place 3 of the mushrooms, gills facing up, on top of the paste down the middle of the pastry. Add the remaining 2 mushrooms, gills facing down, between the 3 mushrooms. Spoon the remaining paste around the mushrooms to cover them on all sides.
Place the second sheet of pastry on top and use your fingers to seal the edges together. Trim around the wellington roughly 1cm away from the filling, discarding the excess pastry as you go. Lightly score the wellington with diagonal lines at 3cm intervals and brush with olive oil. Bake in the oven for 50 minutes, until the pastry turns a lovely golden brown.