Cut the cheese into strips. Cut the filo pastry into strips, a little wider than the cheese, so the pastry can form a roll around the cheese.
Place each cheese strip horizontally onto a filo pastry strip. Tuck in the ends of the filo pastry and roll up, sealing the ends with water.
Fry the pastries in hot oil until golden brown. Remove them from the oil and place them onto absorbent paper. Serve hot.