Preheat your oven to 400°F (200°C). Line a baking sheet with parchment paper.

Roll out the puff pastry sheet on a lightly floured surface until it's about 12 inches by 12 inches.

Cut the puff pastry into 6 equal squares.

Place a slice of ham on each square of puff pastry.

Sprinkle a generous amount of shredded cheddar cheese on top of the ham.

Fold each puff pastry square in half, forming a triangle. Press the edges with a fork to seal.

In a small bowl, beat the egg with the tablespoon of water to make an egg wash.

Brush the tops of the puff pastry pockets with the egg wash to give them a nice golden color when baked.

Place the pockets on the prepared baking sheet and bake for 15-20 minutes, or until the pastry is golden brown and puffed.

Remove from the oven and let cool slightly before serving. Optional: Serve with mustard or mayo for dipping.