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Cover half the shortcrust pastry sheet with grated cheddar, mustard powder and cayenne. Fold the pastry over like a book and roll lightly with a rolling pin to seal.
Cut into 1cm strips, then halve each strip and twist 2-3 times. Place on a baking tray lined with baking parchment, cover with cling film and freeze. To serve, brush with beaten egg and cook at 200C/180C fan/gas 6 for 25-30 mins or until golden and crisp.