Heat oven to 425°F.
Separate dough into 4 rectangles; firmly press perforations to seal. Place one-fourth of the ham and 1/4 cup cheese on one half of each dough rectangle. Fold other half of dough rectangles over filling. With fork, seal edges. Gently transfer hand pies to ungreased cookie sheet.
In small bowl, beat egg with water until frothy. Brush tops of hand pies with thin layer of egg wash.
Bake 10 to 12 minutes or just until medium golden brown. Cool slightly before serving, 3 to 5 minutes.