For the filling, mash the feta with a fork and mix with the egg and herbs of choice.
Take out the sheets of phyllo only when you're ready to use them as they dry out. Cut the sheets into 4 rectangles each, about 12x4 inches and put them in a pile on top of each other.
Brush the top strip with melted butter. Take a heaping teaspoon of filling and place it at one of the 4" or shortest ends of the strip in a thin sausage shape along the edge, about 1" from it and 1" from side edges.
Roll up the top sheet with the filling inside like a cigarette. Turn the ends in when you've rolled it about a third of the way to trap the filling, then continue to roll.
Repeat with the remaining phyllo sheets.
Place the cigars close to each other on a greased baking sheet and brush the tops with melted butter.
Bake at 350F for 30 minutes, or until crisp and golden.