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Heat the grill to high. Lay the bacon on a baking tray in a single layer and grill for 8-10 mins until starting to crisp at the edges. Leave to cool. Heat the oven to 180C/160C fan/gas 4.
Meanwhile, unroll the pastry sheet and cut into six squares. Pile a small mound of the cheese in the centre of each square, reserving some of the cheese for scattering over later. Trim the woodier ends of the asparagus spears so each one is about 10cm long. Place four spears diagonally across each mound of cheese. Chop the bacon into small pieces and sprinkle over.
Working with one pastry square at a time, fold the two corners not covered by the asparagus into the centre and pinch the ends together gently to seal. Repeat with the remaining squares, then scatter over the reserved cheese. Can now be frozen for up to three months.
Transfer the puffs to a baking tray lined with baking parchment and bake for 20-25 mins (or 35 mins from frozen), or until golden brown. Leave to cool on the tray for a few minutes before serving.