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Line 2 baking sheets with parchment paper. On a lightly floured surface, roll out pastry into a 14x11-inch rectangle that is 1/8-inch thick. Roll pastry up loosely over the rolling pin and unroll onto one of the prepared baking sheets. Refrigerate 20 minutes. (If your puff pastry is already close to this size, you can skip these steps of rolling and chilling.)
Preheat the oven to 375°F. Brush entire surface of pastry with egg and sprinkle evenly with grated cheese, pressing gently to adhere cheese to pastry. Mix paprika and cayenne together and sprinkle over cheese.
Cut pastry in half lengthwise. Cut each half crosswise into 12 strips (about 1 inch wide). Gently lift each strip, hold both ends and twist in opposite directions 4 or 6 times to make a twist. Put twists on the prepared baking sheets and bake 20 to 23 minutes or until puffed and lightly golden, rotating the baking sheets halfway through baking. Remove from the oven and transfer to a wire rack to cool slightly. Serve warm.