Unwrap the pastry and cover with damp, but not wet, kitchen paper. Place one sheet on a work surface. Stir together the melted butter and oil and brush a little of it all over the filo. Now sprinkle over a heaped spoonful of the cheese and add a pinch of paprika.
Fold the pastry in half widthways, press down to remove any air bubbles, then tightly roll it up lengthways to form a thin cylinder. Cut this in half and you should be left with two straws that are each about 15cm (6in) long. Place on a baking sheet, then repeat with the remaining pastry.
Preheat the oven to Gas Mark 6, 200°C, fan 180°C. Brush the straws all over with more of the butter mixture, then bake for 10-15 minutes, or until golden brown.
Set aside on kitchen paper to absorb any excess oil, and allow to cool before serving.
The straws will keep in an airtight container for 1 day.
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