Melt the butter and oil in a pan and fry the chicken breasts gently until sealed. Remove the chicken from the pan and leave to cool.
Roll out the pastry and cut into 4 large circles (using a plate which has a diameter slightly larger than the length of the breast). Brush the edges with the beaten egg. Place a chicken breast on each, then put a slice of Wensleydale cheese on top and finally wrap with the thin ham. Fold the pastry over and seal well. Brush with the beaten egg.
Place on a baking sheet and cook for 18-22 minutes until the pastry is golden brown.