Preheat the oven to 180 degrees (fan). Fold out the sheet of puff pastry, there's no need to roll it out. Leave it upon the parchment paper it comes with. Sprinkle over half the grated cheddar, leaving around an inch and a half gap around the edges. Next spoon over the baked beans evenly as possible.
Sprinkle over the remaining cheddar then crumble over the Wensleydale. Season well with pepper.
Now wet three edges with a little water, the two longer sides and one of the shorter sides that you'll be rolling towards. Carefully and as tightly as possible, roll up into a log, starting from the shorter end that has no water on.
Tuck in the ends a bit using the palm of your hands to neaten it up. Now, you can leave to set in the fridge for 15-20 minutes or just cut right away, it doesn't make too much difference, as long as you use a large sharp knife. Cut the roll as neatly as possible into slices just over an inch thick.
Take a baking tray and spray it liberally with oil. If you don't have spray oil line the tray with greaseproof paper. Gently place the pinwheels onto the oiled tray leaving a decent gap between each of them. You may need to fan them out a little using your hands, so they resemble 'messy roses' in appearance (see picture example). Brush them over on the top and sides with beaten egg.
Bake in the oven until cooked through and golden, this should take around 15-20 minutes. Leave to cool for a few minutes, as the centres will be extremely hot. Serve up and enjoy! :)
