1) Preheat the oven to 400°F. Ready a baking sheet by lining with parchment, if you have it; otherwise, just get out a baking sheet, no need to grease it.
2) Place the pastry on a well-floured work surface, and roll it into a 12" x 24" rectangle, about 1/8" thick.
3) Brush some of the beaten egg/water over the dough, saving the remainder for later.
4) If you're using the paprika and/or cayenne, mix with the grated cheese. Sprinkle the cheese over half the pastry (12" x 12" piece of pastry).
5) Fold the dough without filling atop the piece with filling, to make a 12" square.
6) Gently roll till the two halves stick together; you'll now have a rectangle about 12" x 13".
7) Cut the rectangle in half lengthwise to make two rectangles, each 6" x 13".
8) Cut each rectangle crosswise into 3/4"-wide strips; you'll cut about 17 strips from each piece of dough, about 34 strips total.
9) Pick up a dough strip and twist each end in opposite directions until the dough is a spiraled cylinder. Place it on the prepared baking sheet. Repeat with the remaining dough strips, leaving about 3/4" between them.
10) Brush with the remaining egg wash. Sprinkle very lightly with salt, if desired.
11) Bake the twists for 12 to 15 minutes, until they're golden brown. Remove them from the oven, and cool slightly on a rack before serving.
Yield: about 34 cheese straws.