Place the vegetable oil into a deep, heavy-bottomed saucepan and heat until a small cube of bread sizzles and turns golden when dropped into it. (CAUTION: hot oil can be dangerous. Do not leave unattended.)
Lay two filo pastry sheets on a clean work surface. Mix the beaten egg and cream together in a bowl, then brush a little onto the filo sheets. Lay another sheet of filo on top of each sheet to form a double layer, then brush again with the egg and cream mix.
Cut each sheet into four lengthways so you now have eight strips of filo.
In a small bowl, mix together the gorgonzola, parma ham, thyme leaves and seasoning. Place a tablespoon of the mixture at the end of each strip of filo pastry, brush again around the filling with the egg and cream mix and then roll up to make triangles. Brush again with the egg and cream mix.
Carefully place each triangle into the hot oil. Deep fry for five minutes, or until golden. Remove with a slotted spoon and drain on kitchen paper.
To serve, sprinkle with sesame seeds and serve piled up on a serving plate.