In large, dry skillet over medium-high heat, cook walnuts until lightly toasted, about 1 to 2 minutes.
Preheat oven to 375 F (190 C). Line a rimmed baking sheet with parchment paper. Set aside.
Unroll pastry. It should measure a 10-inch (25 cm) square. 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 (1 cm) border along the top edge. 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 (1 cm) thick slices. Arrange flat on prepared baking sheet, spacing 1 inch (2.5 cm) apart. Brush with egg. Bake in the centre of the oven until golden and puffed, about 15 minutes.
Per Serving (2 coins): about 60 cal, 3 g pro, 5 g fat (1 g sat. fat), 2 g carb, 1 g fibre, 10 mg chol, 65 mg sodium. %RDI: 2% calcium, 2% iron, 2% vit A.