Preheat the oven to gas 6, 200°C, fan 180°C. Mash the Stilton, breaking up any large lumps, then stir in the cream cheese. Lay out the pastry on a lightly floured surface and roll out a couple of times to thin out a little. Using a 7cm (3in) round cutter, cut out 16-20 circles. Re-roll leftover pastry and cut out more circles.
Brush a little egg yolk around the edge of each circle. Then put a heaped tablespoon of the cheese mixture on one half of the circle. Fold over the pastry and pinch the edges together, pressing out any air and making sure the parcels are well sealed.
Place on a large, nonstick baking sheet, baste with egg and then scatter over the walnuts. Leave to rest in the fridge for at least 15 minutes (you can freeze at this stage for up to 1 month).
Bake for 12-15 minutes or until puffed and golden all over.
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