Preheat oven to 400 degrees
Crumble feta cheese
Combine feta and cream cheese and mix together
Add ⅓ to ½ of the egg to the cheese mixture and mix
Roll out puff pastry sheets
Spread cheese mixture onto puff pastry leaving 1 inch of space on all edges
Brush egg wash onto the 1 inch border of leftover space
Roll the puff pastry tightly
Put egg wash all over the outside of the roll and roll in sesame seeds, if using
Cut into 1 inch slices
Place slices on baking pan with cheese facing up
Apply more egg wash on top of each slice
Bake for 20-25 minutes at 400 degrees, switching racks halfway through for even baking
Remove from oven when golden brown
Serve immediately while warm
