Preheat the oven to 350°F (180°C/Gas Mark 4) and line a baking sheet with parchment paper.
Lay the puff pastry sheet flat on a separate sheet of parchment paper. Using a pizza cutter or knife, cut it into strips with a width of about 3 inches (8 cm).
Spread or arrange your filling of choice down the center of each strip, then roll the strips up tightly around the filling, enclosing it completely.
Cut each strip into 1–1½-inch (2.5–4-cm) pieces and place on the prepared baking sheet. Leave space between the pieces to allow for expansion and bake them in batches if necessary. Brush lightly with the egg and sprinkle with sesame seeds, if using.
Bake for about 15 minutes, or until puffed and golden. Remove from the oven and slide onto a rack with the parchment paper underneath to cool.
Serve at room temperature on the same day.