For the chorizo sausage rolls, melt the butter in a frying pan over a medium heat, add the onion and thyme and cook gently for five minutes, or until softened. Add the paprika and cook for a further minute. Remove from the heat and leave to cool.
Remove the skins from the chorizo and sausages and place in a mixing bowl, add the cooled onions and mix well until completely combined. Unroll the pastry out on a lightly floured surface into a large rectangle and then cut lengthways into two long strips. Divide the sausage mixture in half and roll into two long sausages roughly the same length as the pastry.
Brush the pastry with a little beaten egg, lay a sausage down one side of a pastry strip, and roll up tightly. Seal the edge. Repeat with the remaining pastry and filling, then transfer to a tray join-side down, brush all over with the beaten egg and refrigerate, covered, for 30 minutes.
Preheat the oven to 200C/400F/Gas 6 (180C fan). Cut each roll into 14 equal sized slices and lay on baking trays. Bake for 25 minutes, or until crisp and golden-brown. Serve warm.
For the tapenade and parmesan palmiers, lightly flour a clean work surface. Unroll the pastry out onto the floured surface into a large rectangle.
Spread the tapenade over the pastry in an even layer, spreading to the edges of the long end and about 2cm/¾in from the edges of the short end. Roll the two long sides up tightly to meet in the middle, turn over, cut into 1cm/½in wide palmiers, place cut-side down on a baking tray and press lightly to flatten slightly. Brush all over (including the sides) with a little beaten egg and sprinkle over the parmesan. Refrigerate for 30 minutes.
Cook the palmiers at the same temperature as the sausage rolls. Bake for 12-15 minutes, or until crisp and golden-brown. Serve warm. Any leftover tapenade can be used as a dip.
For the cheese straws, unroll the pastry onto a lightly floured surface into a large rectangle. Sprinkle half of the cheese and all of the cayenne pepper over one half of the pastry and then fold over to seal.
Using a rolling pin, roll the pastry into a large rectangle, no thicker than a pound coin. Brush with the beaten egg and then sprinkle over the remaining cheese. Cut in half lengthways and then cut each piece into 12 equal strips. Twist each strip into a neat spiral and lay on a baking tray. Cover with cling film and refrigerate for 30 minutes.
Line two baking trays with greaseproof paper. Remove the cling film from the cheese straws and lay them on the lined baking trays. Bake the cheese straws at the same oven temperature as before for 6-8 minutes, or until crisp and golden-brown. Serve warm.