Smear a phyllo pastry sheet with melted butter using a pastry brush. Place another sheet on top, again smeared with butter. Cut it into 8-12 pieces, about 6″ (15 cm) wide.
Put crumbled feta cheese with chopped parsley in each piece. Roll them up into cigars. Do this for all of the sheets.
Arrange them in an oven dish, without any space in between them. Pour in water or milk, enough to cover them. Leave them for 15 min.
Then take them out, press very lightly to drain away the excess liquid and arrange in a greased oven dish.
Smear them with beaten egg and bake until golden.