Preheat oven to 375 degrees F. Line two rimmed baking pans with foil, set baking racks in pans, and lightly spray racks with nonstick spray.
On lightly floured surface, roll out one puff pastry sheet to roughly 8 by 12 inches. Brush top lightly with beaten egg and thinly spread 1/2 cup of preserves over dough. Sprinkle evenly with 1 cup of shredded cheese and 1 tablespoon rosemary, lightly pressing cheese mixture into dough. Fold short end of dough over to enclose cheese mixture and lightly roll to seal. Cut short-wise into roughly 15 1/2-inch strips. Repeat with remaining puff pastry and ingredients.
Lay out one slice of bacon on the diagonal. Grab one strip of prepared dough by the ends and place one end of dough strip horizontally at top end of bacon and roll bacon with dough downward, stretching dough strip as you roll. Place completed spiral-wrapped bacon twist on prepared rack and repeat.
Bake twists for 35-45 minutes or until pastry is browned and bacon crisp, rotating pans as needed for even cooking. Let cool five minutes and gently use spatula to remove twists from racks. Serve warm or at room temperature.