Unroll the pastry on a large chopping board. Spread thinly with the Marmite, right to the edges, then roll up tightly along its width. Using a sharp knife, cut the pastry into 24 slices and place well apart on a baking sheet. Bake in a preheated oven, 220°C (425°F), Gas Mark 7, for 15–18 minutes until golden and puffed.
Meanwhile, make the soft cheese dip. Place the soft cheese in a bowl with the milk and chives. Season generously with pepper, add the mustard and mash well. Place in a small bowl and serve alongside the warm pinwheels.