01 - Preheat oven to 400°F. Line a baking sheet with parchment paper.
02 - On a lightly floured surface, unroll or roll out the puff pastry into a rectangle measuring approximately 10 x 12 inches.
03 - Evenly spread the Dijon mustard over the pastry surface, leaving a 1/2 inch border on one long edge.
04 - Arrange ham slices over the mustard, then sprinkle evenly with cheddar cheese and chopped herbs. Season with black pepper.
05 - Starting from the long edge opposite the border, roll the pastry tightly into a log. Seal the edge with water.
06 - Wrap the log in plastic wrap and freeze for 10 minutes to firm up for cleaner slicing.
07 - Whisk together the egg and milk or water until combined.
08 - Cut the chilled log into 1/2 inch thick slices, yielding approximately 24 pinwheels. Place cut-side up on the prepared baking sheet with slight spacing between pieces.
09 - Brush the tops of each pinwheel with the egg wash mixture.
10 - Bake for 16 to 18 minutes until puffed and golden brown.
11 - Transfer to a wire rack to cool slightly before serving warm or at room temperature.