For the empanada dough:

1. In a large bowl, whisk together the dry ingredients. Stir in the melted butter. Gradually work in the water with your hands; the dough should be easy to handle and not sticky. Form the dough into a ball, wrap it in plastic and chill for 30 minutes.

For the filling:

1. Cut the mushrooms into a 1/4-inch dice and sauté in olive oil until they give up their moisture and it has mostly evaporated. Add the garlic, thyme, sherry vinegar and sherry. Cook for about 3 more minutes; season with salt and pepper. Remove from the heat and cool to room temperature. Fold in the blue cheese after the mixture has reached room temperature.

Making the empanadas:

1. If baking the empanadas immediately after filling, preheat the oven to 400°F. Lightly flour a rolling pin and counter. Working with about a quarter to half of the dough at a time, roll it out to less than 1/8-inch thickness. Cut out circles using a 4-inch round cutter.

2. Lightly coat a baking sheet with spray oil. Working with one circle at a time, brush egg wash around the outer edge. Place a rounded tablespoon of the filling mixture in the center of the pastry circle. Fold the pastry into a half-moon shape and press the edges together with your fingers. Press the edges with a fork to seal completely. Place the finished empanadas on the oiled baking sheet. Continue making empanadas with the remaining dough and filling. At this point the empanadas can be covered with plastic wrap and refrigerated for several hours.

3. Just before baking brush each empanada with egg wash. Bake for 10 to 12 minutes or until nicely browned. If the empanadas are somewhat lacking in color, turn on the broiler and broil until colored. Watch carefully, this won't take long.