Place the milk, onion, bay leaf and peppercorns in a saucepan and bring to the boil over a medium heat. Remove from the heat and set to one side to infuse for 15 minutes.
Preheat the oven to 200° C.
Melt the butter in a large, heavy-based saucepan set over a medium heat. Whisk in the flour until you have a smooth paste and cook it for 1-2 minutes, whisking occasionally.
Strain the infused milk in to a jug. Whisk in the milk in a slow, steady stream until you have a thickened sauce, then simmer the sauce for 6-8 minutes, stirring occasionally. Drop the scallop into the sauce then remove from the heat and season to taste.
Line two baking trays. Roll the sheet of pastry out on a lightly floured surface to ½cm thickness.
Fill the vol-au-vent cases with the scallop and bechamel mixture then cut decorative shapes (bow-ties and diamonds for example) out of the pastry. Transfer to a clean space on one of the baking trays.
Brush the sides of the vol-au-vent cases and the decorative shapes of pastry carefully with the beaten egg. Transfer to the lined baking trays and bake for 6-8 minutes until the pastry is golden and the filling is hot.
Remove and allow to cool on a wire rack for a few minutes before transferring carefully to a serving plate and garnishing some of them with sprigs of parsley.
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