Preheat oven to 180°C/350°F/Gas Mark 4. Line two baking trays with baking paper. Mix diced apple, lemon juice and icing sugar. Place on one of the trays and cook, turning occasionally, until apples are cooked through and lightly caramelised, about 30 minutes. Tip into a bowl and mix in cheese, spices and walnuts. Leave to cool.
Cut filo sheets into three equal strips and lightly brush each strip with butter. Place one-twelfth apple mixture along the bottom of a strip in a thin sausage shape. Tightly roll pastry up into a cigarette shape, tucking the ends in to seal. Do the same with the rest of the mixture and the pastry. Place finished rolls on the second tray and brush with remaining butter. Bake until golden and crisp, about 20 minutes, then place on a cake rack and leave to cool. Store in an airtight jar for up to 2 days.