In a large bowl, mix the wheat flour, egg, warm water and salt until a dough forms.
Knead the dough for at least 5 minutes or until you feel a good consistency.
Let the dough rest for at least 30 minutes. It is advisable to cover it.
Now, with the help of a rolling pin, roll out the dough until it is very thin, but does not break easily.
You can help yourself with your hands to distribute the dough well.
Cut into long strips about one centimeter wide, along the length of the dough.
Prepare the cheese by cutting pieces about one centimeter wide and the length of the tequeño size you want. It is recommended that they are not so long, unless they are for children's snacks.If they are for snacks, 5 or 6 centimeters is enough. Now take a piece of cheese and roll the dough around the cheese to form an elongated shape.
Turn the dough over the cheese until you reach the end. You can moisten the dough to close it and press it to prevent the cheese from escaping.
Ready to fry the tequeño.
Place a pot over medium high heat with enough oil to cover the tequeños. When it is very hot, immerse the tequeños, being careful not to burn yourself with the sparks from the oil.
After a few minutes you can turn them over to brown on the other side.
Carefully remove and place on absorbent paper to remove excess oil. Let cool just a little.
Finally serve with your favorite sauce.