Preheat oven to 200°C (Gas mark 6/400°F). Line 2 baking trays with non-stick baking paper.
Unroll the puff pastry sheet, then use a sharp knife to slice the sheet into 6 pastry squares. With the back of the knife, mark out 2 lines to divide each square into 3rds.
Divide the cream cheese between the 6 pastry squares and spread it down the centre third of each square. Sprinkle the grated cheddar over the top of the cream cheese.
Cut strips into the side of each pastry square, about 1cm wide.
Starting at the bottom of each square, fold the pastry strips in over the cheese centre, alternating strips from each side to form a braid. Fold the ends of the final strips underneath to keep them neat.
Transfer the braids to the lined oven trays. Lightly whisk the egg white with a splash of water, then brush over the pastry to glaze.
Bake in the preheated oven for 15-18 minutes until cooked through and golden. Remove from the oven and transfer to a baking tray to cool completely before packing for your picnic.