1 Place chopped apples in a bowl, microwave on high heat for 5 minutes until apples are cooked through. Remove from heat and let cool. Drain excess moisture. Once cooled, chop further so that the pieces are between 1/4-inch and 1/2-inch square. (Note you can skip this step if you want; the main purpose is to get the apples to release some of their moisture before cooking into the pastry.)
2 Combine apples, walnuts, gorgonzola, thyme and honey in a small bowl.
3 Preheat oven to 400°F. Working with one puff pastry sheet at a time (leave the second one in the refrigerator until using it) roll out the pastry to a size of 9-inches by 12-inches. Cut into 12 3×3-inch squares (a pizza slicer works great for this). Paint 1/2-inch of border around each square with beaten egg (this will help the pastry seal). Place a heaping teaspoon of the apple walnut mixture in the center of the squares. Fold over the squares into a triangle shape, stretching the dough if necessary to cover the filling. Use the tines of a fork to crimp the edges. Place triangles on a silpat or parchment paper lined baking sheet, with space between the triangles. Chill for 5 minutes in the refrigerator before baking, or chill while you prepare the second puff pastry sheet.
4 Whisk in a half teaspoon of water into the remaining beaten egg. Use a pastry brush to paint on the tops of the pastry triangles for a nice glaze. Place in oven and cook for 15-20 minutes until nicely puffed up and lightly browned. Allow to cool for at least 20 minutes before serving.
Serve either warm or at room temperature. Can be made several hours in advance.