1. Preheat the oven to 220°C, gas mark 7. Roll out the pastry to a rectangle about 40cm x 50cm. Spread half of the pastry with onion marmalade and scatter the cheese on top leaving a narrow border round the edge. Fold the other half over and roll gently to seal. Brush the top with beaten egg and scatter with the sesame seeds.
2. Cut it into 12 2cm-wide strips. Twist to make into spirals. Place the straws on 1-2 baking sheets that have been run under cold water (the moisture helps the pastry to rise and prevents it from sticking) and bake for 12-15 minutes until puffy and golden. Transfer to a cooling rack.
3. While the straws are cooking, place all the remaining ingredients in a blender or food processor and whizz together until well mixed. Serve as a dip with the straws.