Set oven to Gas 7, 220°C, fan 200°C. Heat the oil in a frying pan and add the onions, then cook over a medium heat for 10 minutes until really tender and golden.
Add the vinegar and sugar and cook for a couple of minutes until the moisture has evaporated. Allow to cool.
Unroll pastry sheets and cut into about 28 squares. Top each with a little onion, a small piece of blue cheese and a walnut half. Bake for 10-12 minutes until risen and golden. Serve warm or cold.