Cut the phyllo pastry sheets into halves. Chop the Turkish Delight and walnuts into tiny pieces. Take 1 sheet of the cut phyllo pastry and smear it with oil using a brush.
Put pieces of Turkish Delight and some walnuts in the middle, then form cigars by folding in the sheet on all sides. Repeat for all the sheets, until out of filling.
Smear the bottom of a tray with oil and arrange the prepared cigars. Smear them with oil on top and sprinkle with crystal sugar. Put the tray in a preheated 356°F (180 °C) oven for about 20 min.
Bake until the cigars obtain a pleasant golden crisp.