Preheat the oven to 400°F (or according to your pastry package), and line a large baking pan with parchment.

Core the apples (but don’t peel them!), then slice them into 6 rounds, about a 1/4-inch each, and set aside. 

Using a rolling pin, lightly roll the puff pastry sheet smooth, if needed, and slice into 1/2 to 3/4-inch strips.

Wrap a strip of pastry around an apple slice, going in one direction, stretching it very gently as you go. If it isn’t long enough, simply use part of an extra strip. Now, repeat with a second strip, in the opposite direction. Set the wrapped apple on the baking pan, and continue with the remaining rounds.

In a small bowl or cup, whisk the egg with a tablespoon of water, then brush a thorough coating over each pie. Bake, according to pastry package directions, until puffy and golden brown (usually about 20 to 30 minutes).

Meanwhile, make the caramel sauce. Add the ingredients to a small saucepan and set over medium heat, stirring occasionally until the mixture comes to a low simmer. Reduce the heat to medium-low (I find the lower range of medium-low works best to prevent a rolling boil) and cook, whisking frequently, for 7 to 10 minutes (if sauce is still thin after this timeframe, allow to cook a few minutes more), until slightly thickened, then remove from heat. Let it cool for at least 10 minutes to finish thickening.

In a small cup, stir the sugar and cinnamon together. As soon as the pies come out of the oven, sprinkle them generously with the cinnamon sugar (using as much or as little as you prefer), then allow them to cool on the pan. Lastly, drizzle the caramel overtop.