1 For filling, in a large mixing bowl combine chicken, cheddar cheese, spinach, cream cheese, walnuts, sherry, Worcestershire sauce, and nutmeg. Set aside.
2 Unroll the phyllo dough; cover with plastic wrap. Remove 1 sheet phyllo; brush lightly with some of the melted margarine. Place another phyllo sheet on top; brush with more melted margarine.
3 Spoon one-fourth of the filling (about 1/2 cup) evenly down the long side of the phyllo, about 2 inches from a long side and 1 inch from a short side. Fold 2 inches of the long side over the filling; fold in the short sides. Loosely roll up, jelly-roll style, starting from the long side. Place roll, seam side down, on an ungreased baking sheet. Repeat with remaining phyllo, remaining margarine, and remaining filling.
4 Brush tops with any remaining margarine. With a sharp knife, score rolls at 1 1/2 inch intervals. Bake in a 400° oven about 15 minutes or until golden brown. Let stand for 5 minutes before slicing.