make the pastry:

1. If you are using rapid-rise yeast or fresh yeast and have planned ahead such that you know you will be refrigerating the dough overnight: Pour the water and milk into a measuring cup and add the egg, beating with a fork to mix. Set aside. If you need to speed up your cheese-danish-making process or want to make sure your yeast is alive and well: Sprinkle yeast over the warm water and milk with a little bit of the sugar (I take 1/2 teaspoon from the 1 tablespoon) and let stand until the mixture starts to foam a little bit. Then, beat egg with a fork until broken up and add to milk-yeast mixture. Beat mixture with fork again until just combined. Set aside.
2. Place a large bowl near your food processor. Then put the flour, yeast (if you haven’t mixed it with the milk), salt and sugar in the processor, and give it one quick whizz just to mix. Add the cold slices of butter and process briefly so that the butter is cut up a little. You still want visible chunks of butter about least 1/2 inch in size — about 5 short pulses.
3. Empty the contents of the food processor into the large bowl, then add in the milk-egg mixture. Use your hands or a rubber spatula to mix the ingredients together, but don’t overdo it: expect to have a gooey mess with some butter lumps pebbling it. Cover the bowl with plastic wrap, put in the refrigerator, and leave overnight or up to 4 days. (Note: If you have “bloomed” your yeast as noted in step 1, you can get away with two hours in the fridge at this step.)
4. To turn the dough into pastry, take it (or half of it — I find it easier to work with half the amount of dough at this step) out of the refrigerator and roll the dough out roughly into a 20-inch square, using flour as needed. Fold the dough square into thirds, like a business letter, turning it afterward so that the closed fold is on your left, like the spine of a book. Roll the dough out again into a large square, repeating the steps above 3 times (see video for guidance).
5. Wrap the dough in plastic wrap, and put it in the refrigerator for 30 minutes (you can keep it in the refrigerator for up to 4 days, if you haven’t already done so at the earlier stage), or refrigerate half to use now and put the other half in the freezer to use later. Note: If you are pressed for time, skip this 30 minute chill time.

make the danishes:

1. Combine the cheese, sugar, salt, lemon zest, egg, and butter to make the filling. Roll out the pastry into a big rectangle and cut it in half. Divide each half into fourths and place a tablespoon of filling on each piece of dough. Fold the opposite corners up together and seal with a pinch. Place on a baking sheet lined with parchment paper and brush with the egg wash. Leave them to rise until they double in size, about 1 1/2 hours; they should then feel like marshmallow. Note: With both these cheese danishes and the prosciutto & gruyere croissants, it never looks as though the pastries have doubled nor does the texture of the dough feel like marshmallow. I just stick them in the oven after 1.5 hours regardless of how they look.
2. Meanwhile, about 30 minutes before they’re ready to be cooked, preheat the oven to 350°F. Pinch corners back together if they have come apart, then place in the oven and bake for 15 minutes or until puffy and golden brown.
3. Remove to a wire rack to cool.