1 Toasting walnuts: In large, dry skillet over medium-high heat, cook walnuts until lightly toasted, about 1 to 2 minutes. Preheat oven to 375°F. 2 Line a rimmed baking sheet with parchment paper. Set aside. Unroll pastry. It should measure a 10-inch square. 3 If not using pre-rolled pastry, roll out to this size. Sprinkle pastry with Cheddar cheese, walnuts and cayenne pepper, leaving a 1/2-inch border along the top edge.4 Starting at one edge, roll up tightly, jellyroll style. Place on baking sheet and freeze for 15 minutes, or until firm. Using a serrated knife, slice pastry crosswise into 1/2-inch thick slices. 5 Arrange flat on prepared baking sheet, spacing 1 inch apart. Brush with egg. 6 Bake in the center of the oven until golden and puffed, about 15 minutes.