In a deep saucepan, bring the vegetable oil to 360°F. Drop in your sage leaves and let them fry for about 20 seconds, until they stop bubbling. Remove them from the pot and place them on a paper towel until they've dried. Once cool and dried, you can crumble them and keep in a bowl to the side.
Preheat oven to 400°F/200°C and line 2 baking trays with parchment paper.
Place the sheet of puff pastry on a lightly floured surface. Brush the surface with a beaten egg. Sprinkle your cheese over the pastry, as well as the salt and sage. Use a rolling pin to press the cheese into the pastry. Fold the sheet in half and then using a pizza cutter or knife, cut into 12 stripes. Gently twist each strip several times to enclose the cheese - some cheese will fall out but that's ok!
Take a piece of prosciutto around each piece and twist it around, wrapping tightly. Brush again with the eggwash and sprinkle some salt.
Bake in the oven for 15-20 minutes, until golden brown.