01 - Preheat oven to 400°F. Line a baking sheet with parchment paper.
02 - On a lightly floured surface, roll out puff pastry into a 10 x 12 inch rectangle.
03 - Evenly spread Dijon mustard over pastry, leaving a ½ inch border on one long edge.
04 - Arrange ham slices over mustard, then sprinkle with cheddar cheese and herbs. Season with black pepper.
05 - Starting from the long edge opposite the border, tightly roll pastry into a log. Seal edge with water.
06 - Wrap log in plastic and freeze for 10 minutes to firm for easier slicing.
07 - Whisk egg with milk or water until combined.
08 - Cut log into ½ inch thick slices (approximately 24 pieces). Arrange cut-side up on prepared baking sheet.
09 - Brush tops of pinwheels with egg wash.
10 - Bake for 16-18 minutes until puffed and golden brown.
11 - Transfer to wire rack to cool slightly before serving.