Roll out each sheet of puff pastry on a lightly floured board until it's approximately 10 by 12 inches.
Beat the egg with 1 tablespoon of water and brush the surface of the pastry. Sprinkle each sheet evenly with the cheese, garlic powder and cayenne.
With the rolling pin, lightly press the cheese and seasoning into the puff pastry. Cut each sheet crosswise with a knife or pizza wheel into 11 or 12 strips. (If the blade sticks you can dust with flour.)
Twist each strip and lay on baking sheets lined with parchment paper.
Bake for 10 to 15 minutes, until lightly browned and puffed. Turn each straw and bake for another 2 minutes. Don't overbake or the cheese will burn.
Cool and serve at room temperature.
Let the puff pastry thaw in the refrigerator overnight.