Heat the oil in a skillet and fry the bacon until sizzling and lightly browned. Remove from the pan with a slotted spoon. Add the onions to the pan and cook for 4-5 minutes until softened.
Sprinkle the onions with the flour and stir well to coat. Add the milk and cream and heat the mixture over a medium heat for 3-4 minutes, stirring continuously, until the liquid is smooth and has thickened slightly. Add shredded cheese and stir well. Add the bacon back in and season to taste with salt and freshly ground black pepper, stir well, then set the filling mixture aside.
Take the pastry sheets out of the wrapping and unroll. Use a cookie-cutter or a glass with a 4 or 5 inch diameter to cut circles of dough. You should get approx. 10 circles.
Place a tbsp. of filling into the center of each pastry circle, then brush the perimeter of the circles with a little of the whisked egg. Fold over each circle to give you a half moon, and press the edges down. Twist or crimp the edges to make sure they stay sealed and place the pies on a large baking tray.
Brush the tops of the pies with egg wash (if you find you have any holes in the pastry, just plug them with a little leftover pastry – using the egg wash as ‘glue’).
Place in the oven and cook for 18-20 minutes until golden brown.