I brought these to a pot luck recently and they were a huge hit. If you've never cooked with phyllo dough before this is a simple recipe to start with. Just make sure that you don't let your sheets dry out or they get brittle. I keep them moist by covering the sheets I'm not using yet with parchment paper and a damp clean dish towel until I'm ready to use them.
Blanch your asparagus in boiling water and then plunge it in ice water to stop the cooking. This way they stay nice bright green and don't get overcooked.
Sauté the mushrooms in a bit of olive oil (or broth or water) until softened. Add sage and balsamic vinegar and sauté for 3 more minutes. Remove from heat and allow to cool.
Take your phyllo dough out of the box and lay it on the counter covered by parchment paper and a damp dish towel.
Carefully lay out 2 sheets of phyllo dough one on top of the other. Cover the rest of the sheets with the plastic and damp dishtowel again. Brush the tops of both sheets with olive oil (or spray with cooking spray). Slice your phyllo dough width-wise (so you get 3 long rectangles about the width of a cigar). Lay your stuffings (mushrooms, 2 asparagus stalks and a couple of dollops of Zengarry Gruyère Cashew Cheese) along the bottom of your phyllo rectangle. Roll each rectangle around your stuffings to form a cigar shape. Arrange your cigars on a baking sheet and brush with olive oil.
Cook in a preheated oven at 350 degrees Celcius for about 12 minutes, until your cigars begin to turn golden brown. Remove from the oven and serve warm.