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Pre-heat the oven to 190°C/170°C Fan/Gas Mark 5.
Sieve the flour into a large bowl, then rub in the butter cubes until the mixture resembles fine breadcrumbs. Stir in the Stilton, pickled walnuts, mustard and chives.
Make a well in the centre of the mixture, and using a round bladed knife, gradually mix in the milk until a soft dough is formed. Take care not to overmix.
On a floured surface, lightly knead the mixture. Roll it out to 20mm thick and cut out 8 circles using a 6cm round cutter. Place the circles on a greased baking tray and brush with beaten egg to glaze.
Bake for approximately 15 minutes until golden brown. Transfer to a rack and leave to cool slightly. Serve warm with thickly spread butter.