Prepare and cook your vegetables (it would be best practice to cook the broccoli first in bigger florets and then once cooked break down into small florets).
Melt the margarine and add the flour, cook until a sandy texture. Add the milk and sprinkle in the vegetable stock. Whisk to ensure that no lumps occur and then add your cheddar. This sauce should be quite thick.
Add enough of the sauce to your cooked vegetables to coat and allow to cool. This mixture could be made the day before which will make it easier to fill the puff pastry.
Place a heaped spoon of the mixture into the middle of the puff pastry square ensuring that you do not over fill and top with a sprinkling of red Leicester. Brush the edges with water and fold over to form a pillow shape. Crimp the edges to ensure none of the mixture escapes.
Brush the tops with egg wash and sprinkle any left over red Leicester on the top. Bake on a greased baking sheet until golden brown on top and hot in the middle. Allow to cool slightly before you take them off the tray.