Preheat oven to 400°F with two racks close to the center.

On a piece of parchment, roll out the puff pastry sheet(s). If you're using one 14-ounce sheet, roll it out into a 16-inch square. If you're using two 8 1/2-ounce sheets, roll each out into a 12-inch by 14-inch rectangle.

In a small bowl, mix together the salt, cayenne, nutmeg and black pepper. Sprinkle over puff pastry. Next, sprinkle the shredded cheese over the puff pastry. It's best if you vaguely aim for even distribution but inevitably don't achieve it, which will make each bite a little different in a good way. Press down lightly with your hands to stick the toppings to the pastry.

Fold each sheet in half (if using the two puff pastry rectangles, fold over the longer side to make 12-inch by 7-inch rectangles), then roll out again until the short side reaches 12 inches. Slice each sheet into 1-inch by 12-inch strips.

Line two baking sheets with parchment. Twist the two ends of each strip in opposite directions a few times and place twists on baking sheets with a little space in between. Brush with cream or egg wash.

Bake for about 15 minutes, until puffed and light brown. Rotate the pans and swap their oven positions halfway through. (Alternatively you can bake the pans one at a time in the center of the oven.) Cool slightly or completely, whichever you prefer, before serving. They're best on the day you make them.