Heat a large saucepan over a medium-high heat for 2 minutes then place the cockles, mussels and clams and 200ml white wine. Cover with a lid and cook for 5-6 minutes, shaking the saucepan occasionally. Remove from the heat and discard any of them that don't open.
Remove the mussels and cockles from their shells and transfer to a mixing bowl. Reserve to one side.
In a large saucepan, heat the butter over medium heat until it melts. Whisk in the flour to create a roux and cook for 1-2 minutes, whisking occasionally. Whisk in the milk gradually to create a sauce and add the bay leaf. Simmer the sauce for 5-6 minutes then cover the surface of the sauce with a piece of greased clingfilm and allow it to cool.
Preheat the oven to 190°C.
Roll the pastry out on a lightly floured surface and, using the size of an individual ramekin as a guide, cut 4 rounds of pastry. Arrange on a lined baking sheet and brush with the beaten egg. Bake for 15-20 minutes until golden brown.
Add the prawns and sole to the sauce and simmer for 6-7 minutes then add the cooked shellfish back to the sauce. Season with salt, pepper and parsley. Remove the pastry rounds when ready. Spoon the shellfish mixture into 4 individual ramekins and arrange a pastry round to the side. Serve immediately.