Line baking sheet with parchment paper. Brush top of each puff pastry square with egg glaze. Place 1 chocolate piece on edge of 1 pastry square. Roll up dough tightly,enclosing chocolate. Repeat with remaining pastry and chocolate. Place pastry rolls on baking sheet,seam side down.(Can be made 1 day ahead. Cover pastries with plastic wrap and refrigerate. Cover and refrigerate remaining egg glaze)
Preheat oven to 400. Brush tops of pastry rolls with remaining egg glaze. Sprinkle lightly with sugar. Bake until pastries are golden brown, about 15 minutes. Serve warm or at room temp.