1. Lay one sheet of phyllo dough onto a flat surface and brush with olive oil. Lay a second sheet on top of the first and cut the two sheets into six squares.
2. Place one tablespoon of the pepper-feta mixture in the center of each square and close gently, pinching the two sides together in the center and then the other two sides. Use a drop of water to hold the sides together.
3. Repeat with the remaining two sheets of phyllo.
4. Place the filled dough pockets on a baking sheet lined with Gefen Parchment Paper and bake until golden.