Preheat oven to 400°F. Line a baking sheet with parchment.
Toast chopped walnuts in a dry skillet until fragrant. Let them cool completely.
Stir Roquefort and cream cheese until smooth. Mix in honey, thyme, pepper, and cayenne.
Dust the counter with flour. Roll the pastry into a 10x12-inch rectangle.
Spread the cheese mixture over the pastry, leaving a 1/2-inch border.
Scatter walnuts on top and press lightly so they adhere.
Roll up tightly from a long side to form a log. Pinch the seam to seal.
Chill the log in the freezer for 10 minutes until firm enough to slice.
Slice into 1/2-inch rounds. Arrange cut-side up on the lined sheet, spaced apart.
Brush the tops lightly with milk.
Bake 16–18 minutes until puffed and deep golden.
Cool 5 minutes. Drizzle with a little honey if desired. Serve warm.