Whisk together egg and water until well blended. Unfold pastry on a lightly floured surface. Brush with egg wash.
Sprinkle and spread cheese over dough. Add cranberries and rosemary. Season with salt and pepper.
Starting at one side, tightly roll it up.
Cover with plastic wrap and freeze 45 minutes or until very firm. (To make ahead, freeze up to 2 weeks. Let stand 25 minutes before moving to next step.)
Heat oven to 400°F.
Slice roll into about 24 (1/4 inch) slices. Arrange on 2 parchment-lined baking sheets. Brush with egg wash.
Bake for 15 to 18 minutes or until golden brown. Cool on wire rack.