Cut the pastry into twelve 3-inch squares. Place a mounded tablespoon of the feta mixture in the center of each square. Moisten the edges with water and fold the pastry over the filling to form a triangle. Firmly press the edges together with a fork to seal. Lightly brush the pastries with the egg yolk mixture. Place the pastries on a baking sheet.
Bake for 20 minutes or until golden brown. Serve warm or at room temperature.