Preheat the oven to 180°C.
Line a large baking tray with baking paper.
Unroll the pastry onto a chopping board (keep the grease-proof sheet underneath it).
Spread the pickle on half of the pastry, then grate half of the cheese over it.
Fold the other half of the pastry over the filling, pressing down the edges to seal.
Roll it out to the thickness of about 3mm, then trim off the edges.
Cut it into 2cm strips, along the shorter side. Brush them with egg (if used) then scatter grated cheese over them. Using your fingers, twist the strips at each end, but in the opposite direction.
Place the straws on the baking sheet and scatter some more grated cheese over them.
Bake them for about 15 minutes until golden and cooked through.
Let them cool a bit before serving.