I'm going to make an attempt at this tonight I think. I had some feta cheese in the fridge and thought this would make good use of it. So I walked to Titan, a great greek grocery in Astoria, to get the fillo (or phyllo) pastry and they had about ten different kinds! None of the recipes I read mentioned a specific dough, so I just picked a random #4 fillo dough and I'm hoping for the best. Oh, and every recipe calls for frying the "cigars" in oil, but I think I'll spray and bake them. I hate frying things in oil...

ooh, I found a picture of what I'm supposed to do! Was a little hard to visualize it before.
http://www.geocities.com/ftcookery/recipes/2_mezeler/sigara_boregi_muska_boregi.htm

http://home.hvc.rr.com/tekbens/pilav.htm#Sigara%20Börek

So I guess I'll just cut the pastry into triangles, mix some cheese, parsley, and dill together and spoon it at the wide end and roll it up into a cigar shape. Will report back on the outcome...

Ok, made my first attempt tonight (5/7/06) and I've learned a few things. Having never worked with Fillo, I had no idea what to expect. I read about covering the layers that were waiting to be used with a damp towel, so I was prepared, but even then they dried out quickly. The style of fillo I bought was a thin one, and I think next time I should use a thicker one, which after a little research, seems to be a "country style" fillo. I used the #4 nonetheless, but the next issue I had was how to cut the sheets and how many layers of dough to use. I just cut the 12" x 17" sheets into 2 triangles and used 3 layers of dough. Looking back, I think I should have cut the sheets into many more triangles, maybe the short way instead, and perhaps 5 or 6 of them. I think maybe 1 or 2 layers of dough would have been sufficient. Not sure if only 1 layer would hold up, but it's something to experiment with for next time!