Crumble the cheese into a mixing bowl, add the cream cheese.
Unroll the pastry on a lightly floured surface and, using a 6-8 cm round cutter (or a glass), stamp out circles. Re-roll any leftover pastry and cut out more rounds.
Brush the edges with egg yolk and put 1 teaspoon of the cheese mixture on one half of the circle. Add a few bits of walnuts. Fold over the other half of the pastry and pinch the edges together. Make sure they are sealed well!
Place the parcels on a lined baking tray. Brush the top of each parcel with egg yolk and scatter some walnuts on the top.
Rest in the refrigerator for 15 minutes, whilst you heat up the oven. Bake for 12-15 minutes, at 180°C, until golden.
Serve warm or at room temperature.