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Preheat oven to 350° F. Roll out puff pastry on a floured surface with a rolling pin until it is about 1/4-inch thick; cut into 6 squares and cut again diagonally to form triangles.
Spread 2 teaspoons of Dulce de Leche on each triangle and roll them up starting at the base; brush with egg and sprinkle with chopped walnuts. Place on a baking sheet lined with parchment paper and bake for 30 minutes or until slightly golden. Remove from oven and let cool.