Start with the crescent dough. Add 3 1/2 cups flour, sugar, yeast, and salt to the bowl of an electric mixer. (You can also do this in the dough cycle of a bread machine or by hand.) Mix well.
Add butter, water, milk, and an egg.
Mix on low, adding up to an additional 1/2 cup of flour if needed.
Knead for 5 minutes, or until the dough is smooth and springs back when touched.
Lightly grease a large bowl. Add the dough and cover it with plastic wrap. I like to let mine be proof in an extra large zip-top bag. My house is drafty and this works like a charm. It creates the perfect atmosphere for the dough to rise.
Let rise for one hour or until the dough has doubled in size.
While the dough is rising, make the filling. Add cream cheese to a bowl, and work until the cream cheese is smooth. Add blue cheese, honey, salt, pepper, and thyme.
Chop walnuts finely and run your knife through the cranberries.
Punch down the dough and roll it out on a floured surface. Roll to approximately 16″x9″
Spread the filling over the dough.
Starting on the long side, gently roll the dough into a log. Use a sharp knife and cut into 1/4-inch slices.
Place on two baking sheets lined with parchment. Cover loosely with plastic wrap and let rest for 30 minutes.
Bake in a preheated 350° oven for 15 to 20 minutes, or until the pinwheels are golden brown. The cheese will be melted and the walnuts perfectly toasted on top. Let cool for 5 minutes, then transfer to a serving platter.