Prepare all the ingredients before taking the dough out of the fridge. Make the egg wash: whisk the egg with 1 tablespoon of milk or water. Grate the cheese.
The dough should be about the thickness of 2mm / between 1/8-1/16 inch. I didn't have to roll out my store-bought puff pastry but if you're using homemade puff pastry, roll it out to this thickness. Place the puff pastry sheet on a piece of baking paper (the paper that comes along with the puff pastry works fine). Sprinkle the dough lightly with flour on both sides.
Brush the puff pastry sheet with the egg wash.
Sprinkle the puff pastry sheet with dried herbs, then with grated Parmesan cheese. Press the cheese in with your hands so that it sticks to the dough.
Cut the dough into 2.5cm / 1-inch strips (pizza knife works great).
Preheat the oven to 400°F/200°C/Gas Mark 6, no fan (if you have a convection oven reduce the temperature by about 20°).
Place the dough in the fridge for 10 mins (it's good to place the dough on a big chopping board so it's easier to transfer it to the fridge). This will make twisting the dough easier.
Twist the ends of each strip into opposite directions until dough is spiraled. The cheese layer should be facing inward and the plain side facing outward on the twist. The straws should be placed a little apart on the baking paper (the dough will increase its volume). Brush the straws with the egg wash.
Bake for 12 minutes, then reduce the temperature to 325°F/160°C / Gas Mark 3 and bake for about 12 minutes until golden. Keep an eye on the straws at the end of the baking time to make sure that they don't brown too much. Baking time may vary depending on the oven.