Preheat the oven to 180℃/350F fan, 200℃/400F or Gas Mark 6.
Trim the very top off of the garlic bulb and sit it on a small piece of tin foil.
Put the mushrooms on to a baking tray, stalks facing up, drizzle the olive oil over the mushrooms and garlic, and season with salt and pepper. Wrap the garlic up in the foil and sit on the tray next to the mushrooms.
In a separate ovenproof dish, add the leeks, thyme and butter. Cover tightly with foil (or a lid if your pan has one).
Put the mushroom tray and the leek dish into the oven and set a timer for 30 minutes.
When the timer goes off, remove the mushroom tray from the oven (leave the leek dish in there) and carefully drain off any liquid from the mushrooms. Turn the mushrooms over and cook both the leeks and mushrooms and garlic (still in separate dishes) for another 30 minutes.
Remove the leeks, mushrooms and garlic from the oven and allow to cool.
Assemble the wellingtons: When the leeks are cold, take the garlic bulb and squeeze the contents out of the papery skin into the leeks in a bowl (see notes below). Add the cream cheese and a good seasoning of salt and pepper. Mix well, mashing the garlic, until completely combined.
Unroll the sheet of puff pastry and use a sharp knife to cut into thirds, cutting across the width of the pastry not the length (see notes). Take one pastry third at a time, position a mushroom at the end of the pastry, add a quarter of the leek and cream cheese mixture, then put another mushroom on the top. Repeat for all 4 mushrooms.
Use a pastry brush to brush the beaten egg around each mushroom.
Fold the pastry over the top of each mushroom and use a fork to press the edges of the pastry together. (Use clean hands to smooth the pastry gently over the upturned mushroom.) Cut around the mushroom parcels in a circular shape. Brush the top of the pastry with the remaining egg and use the pastry offcuts to decorate, if you like.
Bake in the oven on a lined baking tray for 25-30 minutes until the pastry is golden.