1. Cut superficially, and on one side only, the dates to remove the pit.
2. Put a piece of cheese and a walnut in the center of each of the dates.
3. Press the dates to close them.
4. Cut the sheets into squares of approximately 4 square inches.
5. Wrap each date with pieces of the puff pastry.
6. Brush with a little vegetable oil and transfer them to a baking sheet.
7. Bake for 18 minutes at 180ºC/350°F.