Unroll the pastry and cut in half lengthways, then cut each half into 8 even triangles. Place some grated cheese, a piece of bacon, and a sprig of thyme at the bottom of the triangle and roll up tightly towards the tip. Brush with egg and place onto a lined baking tray. Repeat with all 16, and sprinkle over sesame seeds.
Bake for 10 minutes, remove from the oven and serve.