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Preheat the oven at 375 degrees. Line two baking sheets with parchment paper and set aside. Let your pastry dough thaw in the refrigerator overnight. Lightly flour your work surface. Roll out each sheet of dough until it is a 10 inch (25.4 cm) by 12 inch rectangle. Beat the egg with 1 tablespoon (14.8 ml) of water. Brush the mixture along the surface of the dough. Sprinkle half the Parmesan cheese, Gruyère cheese, thyme, salt, and pepper on each piece of pastry. Use a rolling pin to gently press the ingredients into the dough. Cut each sheet on the short side into 11 or 12 small strips with a pizza cutter or sharp knife. Twist each strip and lay them on the baking sheets. You should have 22-24 straws when done. Cook the straws for 10 to 15 minutes. They should be lightly brown and puffy. Turn each straw over and cook for another 2 minutes. Take them out and let them cool. Serve at room temperature. Make sure you do not overcook these. The cheese will burn.
Preheat the oven. Shape the dough. Make the straws. Cook the straws.