Preheat the oven to 200C/400F.
Roll out one of the sheets of pastry and leave it on the baking paper (or place it on a sheet if it's not included). Spread with a layer of mustard then top with the ham, overlapping as needed. Spread over the cheese then place the second sheet of pastry on top. Gently squish everything down with your hands to secure the filling.
Use a sharp knife to slice the shape of a Christmas tree, then slice out any shapes from the excess pastry you fancy. I do a star, 2 mini Christmas trees, some candy canes and some circles for baubles (see video for reference). I keep the stump at the bottom around 4cm/1.5" wide.
Slice the branches around 2.5cm/1" wide and make sure you keep space in the centre (again, see video for reference). Twist each branch a couple of times, or just once as you work closer to the top.
Place everything on a baking tray, brush with egg wash then bake for around 15-20 minutes or until deep golden and visibly crisp. The smaller shapes may cook more quickly, so just be vigilant.
For the sauce, melt the butter in a small pot over medium heat then stir in the flour to create a roux. Gradually add in the milk, whisking as you go to avoid lumps, then turn off the heat and stir in the cheese. Season to taste with salt, pepper and nutmeg. Thin out with milk if needed (it'll thicken quite quickly as it cools).
Stick the star and baubles on the tree, dust with parmesan then tuck in and enjoy!