Preheat the oven to 180℃ fan / 200℃ / 356℉ convection / 392℉.
Line a baking sheet with foil.
Place the rashers of bacon on the foil and place in the oven for 5 minutes.
Take the bacon out of the oven and leave to cool slightly. Take off the foil and line the tray with baking paper.
Mix the cream cheese with the Dijon mustard and Worcestershire sauce.
Cut the puff pastry into 4 squares.
Place a quarter of the cream cheese mixture in the centre of one square, spreading out slightly to two opposite corners.
Slice each bacon rasher in half lengthways (or in quarters if using middle bacon rashers) and place in the square of puff pastry, on top of the cream cheese.
Top with a quarter of the grated cheese.
Brush all the edges of the puff pastry with beaten egg.
Pinch the two opposite corners that don't have any filling on together well, then fold this point over the top of the turnover to seal.
Place on the lined baking tray.
Repeat with the other 3 puff pastry squares.
Brush the tops of the pastries with beaten egg, then place in the preheated oven for 15-18 minutes until golden brown all over.
Cool for a couple of minutes before serving.