Step 1: To make the pastry: Combine the flour and salt. Work in the butter and cream cheese until the mixture comes together.
Step 2: Form the dough into two disks, wrap them in plastic, and refrigerate for 2 hours.
Step 3: To make the filling: Heat the olive oil in a pan set over medium heat. Add the onion, sage, and chili powder.
Step 4: Cook until the onions are translucent, about 2 minutes. Add the pumpkin, salt, and pepper. Cook for 5 minutes longer, until the purée has become a bit drier. Cool to room temperature.
Step 5: Preheat the oven to 400°F. Lightly grease two baking sheets, or line with parchment paper.
Step 6: On a well-floured surface, roll one disk of pastry into a 14" circle.
Step 7: Spread half the filling onto the circle. Sprinkle 1/4 cup Parmesan and 1/4 cup walnuts evenly over the pumpkin.
Step 8: Cut the dough into 16 wedges (like a pie). Roll each wedge tightly, starting at the wide end, and bend into a crescent.
Step 9: Place the crescents on one of the prepared baking sheets.
Step 10: Repeat with the remaining pastry and filling.
Step 11: Combine the egg with 1 teaspoon water and brush it onto the rugelach.
Step 12: Bake for 25 to 27 minutes, until golden brown. Remove from the oven, and transfer to a rack to cool. Serve warm, or at room temperature.
Step 13: Store at room temperature, tightly wrapped, for several days; freeze for longer storage.
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