How to Make It
In a skillet, heat the 1 tablespoon of olive oil until shimmering. Add the leek and cook over moderate heat, stirring, until softened, about 5 minutes. Remove from the heat, add the cream cheese and Cabrales and stir until melted. Season with salt and pepper. Scrape the filling into a bowl; let cool.
Meanwhile, in a small saucepan, combine the sherry, beef broth and raisins and simmer over moderate heat until the liquid is reduced by half, about 8 minutes. Stir the cornstarch mixture, whisk it into the sauce and cook until the sauce is slightly thickened, about 2 minutes.
On a work surface, stack the phyllo sheets and cut them crosswise into 4 strips, each 4 inches wide by 12 inches long. Arrange 4 strips on a work surface with the short sides facing you; keep the remaining phyllo covered with plastic wrap to prevent it from drying out. Brush the strips lightly with olive oil. Spoon 1 tablespoon of the cheese filling at one end of each strip and roll them up, making about 3 turns to create small cylinders, then fold in the sides. Brush the folded sides with olive oil and continue to roll up the cylinders. Set the rolls on a plate. Repeat with the remaining phyllo and filling.
Place a wire rack on a large baking sheet and cover with paper towels. In a large skillet, heat 1/4 inch of olive oil until shimmering. Add 10 to 12 of the rolls and fry over moderately high heat, turning once, until golden, about 1 1/2 minutes. Transfer the rolls to paper towels to drain while you fry the rest, adding more olive oil as needed. Transfer the phyllo rolls to a platter and serve with the sherry dipping sauce.