Melt the butter in a large saucepan, add the leeks and cook for 1–2 minutes. Add the mushrooms and cook for 2 minutes. Stir in the flour and cook, stirring, for 1 minute, then gradually add the milk and cream and cook, stirring constantly, until the mixture thickens. Add the Cheddar and the parsley and cook, stirring, for 1–2 minutes. Remove from the heat.
Cut 4 rounds from the pastry sheets to cover 4 individual pie dishes. Divide the mushroom mixture between the pie dishes. Brush the rims with the beaten egg, then place the pastry rounds on top. Press down around the rims and crimp the edges with a fork. Cut a couple of slits in the top of each pie to let the steam out. Brush the pastry with the remaining egg.
Bake in a preheated oven, 220°C (425°F), Gas Mark 7, for 15–20 minutes until the pastry is golden brown. Serve immediately.