Roll out phyllo pastry sheets, about 1/4" (5 mm) thick. Smear each sheet with butter and feta cheese. Roll them up into rolls and arrange them in an oiled oven dish - it's best if it's deep so they don't start to spill out. Leave them to rise at room temperature (32°F (about 25 °C)).
Smear them with egg yolk and bake. Once baked, drip in a little cold water to make the top crust crispy, you can wrap it in a wet towel too.
Cut them after they cool, so you can touch them with your hands without burning yourself.