Grate gruyère cheese. You should have about ¾ cup.
Flour a large cutting board or your countertop, and roll out puff pastry dough to 12.5 x 9.5 inches (32 x 24 cm).
Turn it so the wider side is horizontal. Then cut in half in the middle of the long side to make two tall rectangles, each roughly 6 x 9.5 inches (16 x 24 cm).
Cover each piece of puff pastry with a layer of prosciutto, leaving a ½-inch border on one of each of the long sides.
Sprinkle gruyère evenly over the prosciutto, then sprinkle with chopped fresh sage.
Whisk egg in a small bowl.
Use a pastry brush to paint the border of the puff pastry sheet that you left clear.
Then, starting from the other end, roll up lengthwise as tightly and gently as possible.
Press gently along the edge with the egg wash to seal.
Place on a cutting board or plate and put in the freezer for 30 minutes.
While the puff pastry rolls are in the freezer, preheat oven to 400 degrees Fahrenheit (200 degrees Celsius).
Line two baking sheets with parchment paper.
Remove rolls from freezer when firm, and cut into ⅓-inch slices.
Arrange onto sheet pans leaving 1-2 inches of space around each pinwheel.
Bake for 15 minutes.
Let cool slightly before serving.
Notes
Make-Ahead: You can make these in the morning before serving at night, or even up to 24 hours in advance. Just wrap the unsliced rolls in parchment paper or plastic wrap after chilling in the freezer, and place the in the refrigerator until you are ready to slice and bake. If you want to freeze them for later use, just wrap the cylinders in parchment paper and twist each edge to seal. Store in the freezer for up to two months. Defrost in the refrigerator before slicing and baking (do not defrost at room temperature since you need the cylinders to be quite cold to slice cleanly). Working with Puff Pastry: The key to this recipe is working with your puff pastry dough at the right temperature. If your dough came in a sheet that is folded in thirds, make sure you wait until the dough is defrosted (but not too soft) to unfold it. Unfolding the dough when it is still quite cold can cause it to break or tear. Then, don’t wait too long to begin working with your defrosted dough. If it is out too long at room temperature and becomes too soft to work with, just put your dough into the refrigerator at any time to firm it back up. For example, if it is too difficult to roll up your dough with the filling in it because the dough is too soft, just place the unrolled pinwheels into the refrigerator (or freezer) for a few minutes.