Preheat the oven to 356°F (180 °C). Finely crush the biscuits, walnuts, cinnamon and sugar and mix them in a large bowl. Add the grated apples to them and mix everything well. Take a phyllo pastry sheet, smear half of it with margarine, then fold it in half, so that the greased and non-greased halves stick together.
Smear the top of the sheet as well and then spread a sixth of the apple mixture on it. Roll the phyllo pastry sheet into a roll and place it in a tray that has been pre-greased with margarine and covered with baking paper. Repeat this procedure with the remaining phyllo pastry sheets.