You can make these appetizers ahead, up to 4 hours before your party, and bake right before guests arrive.
Preheat oven to 400 degree F. For filling, in a small mixing bowl combine cream cheese, egg yolk, lemon juice, chives, and pepper; beat with an electric mixer on medium speed until nearly smooth. Stir in cheddar cheese and bacon.
On a lightly floured surface, roll 1 of the pastry sheets to a 12-inch square. Cut into sixteen 3-inch squares. Top each square with about 1 teaspoon of the filling. Brush edges of each square with milk. Fold each square in half diagonally. Seal edges by pressing with tines of a fork or fingers. Place on an ungreased baking sheet. Repeat with remaining pastry sheet and filling.
Bake in preheated oven for 12 to 15 minutes or until golden. Makes 32 puffs.
Prepare as directed through step 2. Cover and chill for up to 4 hours. Bake as directed in step 3.