1. Preheat the oven to 400 ° F (200 ° C). Cover 2 baking sheets with parchment paper. In a
bowl, mix the cheese, peanuts and cayenne pepper.
2. On a lightly floured surface, roll out half of the puff pastry package, make a 12-inch (30 cm) square. Cut if needed. Brush egg over the entire surface. Sprinkle half of the cheese and peanut mixture over the bottom half of a square, leaving a 1/2 inch (1 cm) space on the three sides. Fold the top half of the pastry down and press the edges firmly so that the pastry sticks together. Using a rolling pin, gently roll over the pastry so that the layers stick together. Brush with egg.
3. Using a sharp knife, cut the rectangle vertically into 1/2 inch (1 cm) thick strips, each 6 inches (15 cm) long. Twist each strip several times and place them in a single layer on the baking sheets.
4. Repeat with the remaining pastry and cheese mixture. Bake in the preheated oven, turn the baking sheets halfway through, and bake until the pastries are puffed and golden, 15 to 18 minutes. Once cooked, the pastries can be stored in an airtight container for a few days or frozen for a month.