Preheat your oven to 425 degrees F.
Line a large baking sheet with parchment paper and set aside.
Transfer the dough to a lightly floured surface and knead for a few seconds.
Roll into a log and slice into 12 equal sections. Roll into balls and keep them covered with a kitchen towel so they don't dry out.
Roll and extend each ball on a lightly floured surface to about 4 inches in diameter.
Using your best judgement, add some cheese to the center.
Fill with about ¼ cup of the cooled chicken filling.
Fold over until two sides meet and gently press with fingers.
You can crimp with a fork, or you can pinch and fold over to create a braided look. Whichever you find easiest.
Transfer filled empanadas to a lined baking sheet.
Whisk the egg with a splash of cold water.
Using a pastry brush, brush the tops of the unbaked empanadas.
Place the baking sheet in the preheated oven.
Bake for 22-25 minutes or until golden brown all around.
Take a peak at 22 minutes. If they are golden brown, remove.
To make them browner, press the broiler button and broil for 30 seconds. Remove immediately!
Cool slightly before serving.