In a bowl mix all the cheeses, egg, salt and pepper until combined and mixed well so the cheese is evenly distributed. Keep a bowl of warm water nearby.
Lay one spring roll wrapper or 1 sheet of filo (spring roll wrappers are easier to handle- filo gives a lighter crispier cigar. Both are fine) on a piece of parchment paper.
Wet your fingers and place two tablespoons of filling 1 cm away from edge of the wrapper/sheet. Pat it down into a long log leaving 2 cm on all 3 sides. Then fold over the vertical sides and then the horizontal one (parallel to the cheese log ) over the cheese.
Roll upwards until encased. Use some water to stick the wrapper to itself. Make sure it’s stuck down well otherwise they will leak in the oil. Make sure not to over or under stuff. Continue until you’ve used up all the filling. Heat a frying pan big enough to fit the cigars with oil half way up.
When the oil is ready add 2 or 3 cigars at a time. Don’t overcrowd the pan.
When they are golden brown they are ready. Remove and drain. For the cheese sauce.
Add all the ingredients into a pot and melt together. Reheat sauce before serving.
