Preheat the oven to 350 degrees F.
Wrap each piece of chorizo in a piece of the puff pastry, and press the seam to seal. Place, seam-side down, on a baking sheet. Place in the oven and cook until the puff pastry is golden brown, about 10 to 15 minutes. Serve with cornichons and Creole mustard.
Yield: about 6 to 8 servings