In a small skillet, combine the first nine ingredients. Cook and stir over medium heat for 4-5 minutes or until lobster is firm and opaque; set aside.
Unfold puff pastry. Using a 4-in. round cookie cutter, cut out four circles. Place on a greased baking sheet. Repeat with remaining pastries. Spoon 1 tablespoon lobster mixture in the center of each circle. Brush edges with egg; fold dough over filling. Press edges to seal.
Bake at 400° for 8-10 minutes or until puffy and golden brown. Serve warm.