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