1. Preheat your oven to 400°F (200°C). Line a baking sheet with parchment paper or a silicone mat for easy cleanup.
2. Lightly dust your work surface with flour. Roll out the thawed puff pastry sheet into a roughly 10×10-inch square to get a bit more room for wrapping.
3. Cut the puff pastry into 8 equal squares. Place one piece of feta cheese in the center of each square.
4. Fold the puff pastry around the feta to form a neat packet, pinching the edges tightly to seal and prevent leakage. You can shape them into rectangles or squares, whatever feels comfortable.
5. In a shallow bowl, mix the flour, smoked paprika, and black pepper. In another bowl, place the beaten egg. In a third bowl, add the panko breadcrumbs.
6. Lightly coat each feta roll in the flour mixture, then dip into the egg wash, and finally roll in the panko breadcrumbs to coat completely. This triple coating creates that satisfying crunch without frying.
7. Place the coated rolls on the prepared baking sheet. Brush each roll lightly with olive oil to promote browning and crispiness.
8. Bake in the preheated oven for 18-20 minutes or until the pastry is golden brown and puffed, and the feta inside is warmed through.
9. While the rolls bake, prepare the chili honey. In a small saucepan over low heat, combine honey, red chili flakes, and lemon juice. Warm gently, stirring occasionally, until fragrant and slightly thinned out, about 3-4 minutes. Remove from heat.
10. Once the rolls are done, remove from the oven and let cool for 2-3 minutes. Drizzle the warm chili honey generously over the rolls just before serving.

When I first tried this method, I was amazed at how the oven-fried coating gave that perfect crunch without the mess and stress of deep frying. It’s a game-changer for busy weeknights or casual get-togethers.