In a mixing bowl, mash the feta cheese and mix in the chopped parsley.
Divide the cheese mixture into 24 equal portions.
Lay out the phyllo sheets and cut them into a total of 24 triangles (the easiest way to lay them on top of other, cut from 12 o'clock to 6 o'clock, then from 9 o'clock to 3 o'clock, then divide up each quarter into 4 triangles- but I'm sure experienced pizza makers have a much more scientific method!).
To roll your "cigarettes", put a portion of cheese at the wide end of a triangle, then fold in the edges to seal the cheese in before rolling it all up; you can seal the very tip of your roll with a little water.
When all the rolls have been assembled, deep fry them until they are golden and crispy.