Place about 2 generous tablespoons of the filling at the bottom of the oiled sheet leaving a 1 inch / 2.5 cm margin at the bottom and on the sides of the sheet.
Mould the filling with your hands (it should be sticking together easily) into a long sausage. Start rolling the cigar by folding the bottom margin over the filling, then fold the sides in (like you would with a burrito) and finally roll the cigar tightly around the filling. Apply a little bit more oil to seal the roll. Place it in a greased tin, seam down. Cover with the second damp kitchen towel while you roll the remaining cigars.
Repeat the last 3 steps with the remaining 2.5 sheets. If you want to use up the entire roll of pastry, you could fold each sheet in half and use a double layer of pastry for each cigar.
Pre-heat the oven to 180º C / 355º F.
Place the cigars in the tin snugly. Using a sharp knife cut each cigar into 2, 3 or even 4 (depending how big you want them) pieces. Brush the tops with a small amount of oil and bake for about 25 minutes, or until golden brown.
As soon as the cigars are ready, brush them with cold (that’s important as otherwise they’ll end up soggy) syrup. Sprinkle with finely chopped pistachios. If you made more than you are able to eat, just freeze the remainder.
NOTES
*The day before you intend to make your baklava cigars, place your frozen (unless you use fresh, in which case no need to worry about this step) filo into the fridge to allow it to thaw slowly. My filo came in 2 rolls of 6 sheets so I only thawed one roll for this dessert (and used 3 sheets) and kept the other one in the freezer.
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