For filling, in a large mixing bowl combine chicken, cheddar cheese, spinach, cream cheese, walnuts, sherry, Worcestershire sauce, and nutmeg. Set aside.

Lightly brush 1 sheet of the phyllo with some of the melted margarine or butter. Place another phyllo sheet on top; brush with some margarine or butter. (Cover remaining phyllo with a damp cloth to prevent drying.)Spoon one-fourth of the filling (about 1/2 cup) evenly down the long side of phyllo, about 2 inches from long side and 1 inch from short side. Fold 2 inches of the long side over filling; fold in the short sides. Loosely roll up jelly-roll style from the long side. Place roll, seam side down, on an ungreased baking sheet. Repeat with remaining phyllo, margarine or butter, and filling. Brush tops with any remaining margarine or butter. (If desired, cover and chill for up to 6 hours.)

Use a sharp knife to score rolls at 1 1/2-inch intervals. Bake in a 400 degrees F. oven about 15 minutes or until golden brown. Let stand for 5 minutes before slicing. Serve warm. Makes about 36 pieces.

Cover and chill filled rolls up to 6 hours before baking.