Knead a soft dough from the ingredients, excluding the feta cheese and oil, and divide it into 9 balls. Leave them to rest for 15 min.
Heat the oil but not to the point where it's hot. Dip the 1st ball in it and stretch it out with your hands to as thin a sheet as possible. Sprinkle with oil and 2 pinches flour.
Stretch out the 2nd ball of dough and place it on top of the 1st sheet. Smear with oil and flour, then place a 3rd sheet. Sprinkle with feta and wrap it into a roll, twist it, shape it into a snail shell and place in an oiled oven dish.
Repeat this process for the rest of the balls of dough. You need to get 3 rolls consisting of 3 sheets each. Leave them to rise about 30-40 min. Smear with egg yolk and bake 40 min. at 482°F (250 °C).