Place the blue cheese and cream cheese in a bowl and beat until well combined. Beat in the walnuts. Lightly butter 1 sheet of filo pastry. Top it with another sheet and brush it lightly with butter. Repeat the last step one more time. Repeat the entire process, separately, with 3 more sheets of filo. Cut the layered sheets into 12 squares. Place a heaping tablespoon amount of the blue cheese mixture into the centre of each square. Lift up corners of each square and squeeze together to form small bundles. Place each bundle on a parchment paper-lined baking sheet. Lightly brush the tops and sides of each bundle with butter. Repeat with the remaining filo and cheese mixture. Cover with plastic wrap and store in the fridge until ready to bake (can be made a couple of hours in advance.) Bake the bundles in a 375 degrees F oven for 15 minutes, or until golden brown.
Make a seasonal buffet of appetizers by serving these bundles with an assortment of appetizers found in our website recipe collection, such as Fig and Olive Tapenade, Crab and Shrimp Canapes, Mixed Mushroom and Goat Cheese Tarts, and/or Meatballs with Feta and Tzatziki Sauce.