Let puff pastry thaw and roll out thinly on a floured work surface. Brush with beaten egg yolk and crumble Parmesan over the top. Fold the dough, roll out, sweep off flour, fold again and repeat the process once more. Then roll out the dough 4 mm thin and let it rest for half an hour. Finely grate the gorgonzola. Using a serrated round cookie cutter (diameter 4 cm), cut out cookies, sprinkle with Gorgonzola, season with salt, pepper and cayenne pepper. Place on a baking tray lined with baking paper and bake in the oven preheated to 210 °C for about 20 minutes.