In a bowl mix together the cheese, black pepper, orange zest, juice and crumbled Christmas pudding.
Lay out the sheets of filo pastry, brush each sheet with melted butter and place on top of each other. Spread the filling at one end of the filo square.
Fold one end of pastry of the mixture and continue rolling, tucking each end to create a seal, until you have a tight filo parcel log.
Brush the top with butter and sprinkle with a little cinnamon and brown sugar.
Bake at 200°C (400°F) Gas Mark 6 for about 25 minutes or until golden brown and crispy on the base.
Serve in slices with vanilla ice cream or warm custard.