Line a baking sheet with parchment paper or a Silpat sheet.
Roll out the puff pastry until is doubled in size and thin. Cut in 3 ½ -4-inch strips.
Slice each ham slice into 3 lengthwise strips.
Leaving ¼ inch space on the outer edges of the puff pastry, spread it with the help of a small spatula, the cream cheese. Add on top of it the cooked ham.
Gently roll over one side of the puff pastry sheet, tucking in the ham, and give it a second turn until you meet the end of the cheese mixture and have the ¼ inch exposed. You should have the ham-cheese mixture rolled in. Wet the ¼ inch puff pastry with water and seal by gently pressing down.
Cut into 1 to 1 ½ inch diagonal pieces. Place on a baking sheet 1 inch away from each other.
Brush all over the pastry with the beaten egg and place in the warm oven.
Bake for 15 minutes or until the top is nicely golden. Remove from oven and let rest for a couple of minutes and serve.