1. Preheat oven to 375°F (190°C).
2. Mix all filling ingredients in a bowl.
3. Roll out phyllo sheets out on a work surface. Cut each sheet in half lengthwise and then widthwise, so that you have four rectangles.
4. Brush the phyllo rectangles with oil and place one tablespoon of filling close to the edge of each one. Fold in on the edges of the rectangle in order to seal in the filling, and then roll up into a cigar shape.
5. Brush the outside of the cigar with oil and bake for 10 minutes. (You can also semi-deep fry in oil until golden).