Cut the leeks lengthways and then into ½-cm slices. Wash the leeks well in a bowl of warm water, then rinse and repeat.
Melt the butter in a frying pan. Add the leeks to the pan and cook over a medium heat with the thyme, a good pinch of salt and plenty of pepper, stirring frequently, for about 10–12 minutes or until the leeks have softened and browned.
Transfer the leeks to a large bowl and add the rest of the filling ingredients. Mix well and leave to cool for 20 minutes.
Preheat the oven to 175°C fan/195°C/375°F/Gas mark 5 and remove the pastry from the fridge. Weigh the filling and divide the mixture into two equal portions. Unroll a sheet of puff pastry, place one portion of filling in the centre and form it into a loaf shape, leaving an 8cm border of pastry clear of filling all the way round.
At each corner, cut a 6-cm square from the pastry sheet, stopping 2cm away from the filling. Reserve these pastry squares for decoration. Using a pastry brush, brush the beaten egg over the pastry border. Fold the two short ends of pastry up and over the filling. Now fold the two long sides of pastry over the filling until they meet in the middle – you may have to gently stretch it to cover the filling. Press the pastry edges together to seal the parcel. Repeat with the remaining filling and puff pastry.
Carefully turn the parcels over so that joins in the pastry are underneath and place on a baking tray lined with parchment. If you like, gently score the surface of the pastry parcels with a pattern. Score lines, or diamonds, or whatever you fancy, just be very careful not to cut too deeply through to the filling.
Next, cut out decorations from the pastry scraps. (I like holly leaves and berries, but be creative!) Brush the parcels all over with the remaining egg wash and add the pastry decorations. Brush again with more egg wash. Bake in the hot oven for 30–40 minutes or until the pastry is shiny and golden.
These Wellies can be made up to 2 days in advance. Make both parcels, but do not glaze them with egg wash. Place on a lined baking tray, cover with cling film and keep chilled in the fridge. Before cooking, remove from the fridge to bring them back to room temperature. After an hour out of the fridge, glaze the parcels with egg wash and bake as directed.
The Nut Wellington is absolutely delicious cold and perfect for a Boxing Day leftovers table. Alternatively, it can be reheated in the oven if you prefer to eat it hot. Leftovers will keep absolutely fine covered in the fridge for up to 3 days.