Preheat oven to 200 degrees C. Spray 2 baking trays with cooking spray. Set aside.
Place the empanada dough discs on a flat surface. Slightly wet edges with warm water. Put a couple of cubes of ham and Roquefort in the centre. Fold the pastry over and seal edges pressing with a fork. Transfer to baking trays, brush with beaten egg.
Bake in the preheated oven for 20 minutes, or until golden brown. Remove from the oven and serve warm or cold.
Tip to prevent cheese leaks from the empanadas
Freeze Roquefort cheese for 20 to 30 minutes before using it, this will prevent leaks. You can also prepare the empanadas and chill them in the fridge for 20 to 30 minutes before baking them.