Roll out 1 thawed puff pastry sheet into a 12-by- 16-inch rectangle. Sprinkle with 1 cup shredded cheddar cheese, 3/4 cup cooked crumbled bacon and 1 teaspoon cayenne pepper. Roll up the pastry just to the center, then repeat with the opposite side. Brush with beaten egg and press together to adhere. Cut crosswise into 1/2-inch thick slices; place cut side down on a baking sheet and brush with beaten egg. Bake in a 400° oven until golden, about 15 minutes.