Line a baking sheet with foil and place the bacon slices in a single layer on the foil. Make sure not to overlap the slices. Turn the oven on and set to 400°F and place the baking sheet in the oven. Don't wait for the oven to preheat.
Cook the bacon for 12-17 minutes and start checking your bacon around 10 minutes to ensure your bacon doesn’t burn. Once the bacon has reached your desired level of crispiness, remove the bacon immediately and place on paper towels to soak up the grease. Let it cool down a bit and then cut the slices into little crumbles.
Roll out the puff pastry and spread 1/2 of the cream cheese on the middle third. Sprinkle 1/2 of the bacon on top of the cream cheese and top with 1/2 of the shredded cheese.
Fold the lower third over the middle third and press the dough together. Spread the rest of the cream cheese on top, followed by the rest of the bacon and the shredded cheese.
Fold the upper third over and press together. Freeze the dough package for 30 minutes (it's easier to cut into smaller pieces when it's a little bit frozen).
slice the dough package into 20 straws. Twist each straw and put it on a baking sheet (prepared with parchment paper). Put the baking sheet into your preheated oven (356°F) and bake for 25 minutes.