Use 2 baking trays. Line with baking paper. On a lightly floured work surface, roll out the pastry into a rectangle.
For the filling, rinse anchovy fillets in cold water and drain. Chop anchovies, garlic, olives, chilli, sage and capers very finely and mix together. Add lemon juice, thyme, rosemary and olive oil into a paste-like mixture; add salt and pepper.
Spread the paste over pastry, leaving a margin of 2 cm along one long side. Loosely roll up pastry sheet, starting from the long side. Wrap in cling wrap and place in freezer for 40–50 minutes; turn pastry twice during this time.
Cut pastry roll into slices 4 mm thick. Place on baking trays allowing room for the snails to spread. Chill for 20 minutes.
Preheat oven to 220°C. Brush a little water over the snails and bake, one tray at a time, for 10–15 minutes until golden. Reduce heat to 140°C. Leave the snails in the oven for a further 5–10 minutes to dry. Remove and cool on the trays.
I made a double amount of these for a party and every single person who had them loved them. I now make them regularly to have with pre dinner drinks. I make them and freeze in the rolls until needed which makes them a very handy delicious snack to have on hand.