Steps:
- Preheat the oven to 425°F. Set aside two ungreased rimmed baking sheets.
- In a small bowl, combine the cheese, cayenne, paprika, and salt. Set aside. In a second small bowl, whisk together the egg and water. Set aside.
- On a lightly floured surface, roll out the thawed pastry sheet 1/8 inch thick, to form a rectangle that is about 10 by 16 inches. Lightly brush the dough with the egg wash.
- To shape the straws, halve the pastry crosswise into two 5 by 8-inch rectangles. Sprinkle the cheese mixture over one rectangle and top with the other rectangle, egg-wash side down, pressing firmly to force out any air pockets. Roll out the layered pastry a little further to make the layers adhere (the rectangle should be about 12 by 9 inches). Brush the top of the pastry with additional egg wash and transfer to a baking sheet. Chill until firm, about 10 minutes in the freezer or 30 minutes in the refrigerator.
- Remove from the freezer and transfer to a floured work surface. With a large sharp knife, pastry wheel, or pizza cutter, cut the pastry lengthwise into 1/4-inch-wide sticks. Twist the ends of each strip in opposite directions to create a long twirl.
- To bake the straws, arrange them about 1 1/2 inches apart on the baking sheets, pressing down the ends to fix the straws to the rimmed edge of the sheet pan. Bake the cheese straws, in batches, in the middle of the oven until golden, 10 to 12 minutes. (While baking in batches, keep the raw dough in the refrigerator.) Transfer the baking sheet to a rack to cool slightly, then transfer the cheese straws to a rack to cool completely.
- making ahead
- Once they have cooled completely, store the cheese straws in an airtight container for up to 2 days. Re-crisp them in a 425°F oven just until heated through, about 5 minutes.
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