1. Mix feta cheese, fennel leaves, and olives in a bowl.
2. Cut the fillo dough into lengthwise strips 3 to 3 1/2 inches wide.
3. Brush one strip of fillo with olive oil and add another fillo strip on top.
4. Place 1 teaspoon of cheese mixture on the top edge of strip.
5. Fold the top right corner down on a diagonal, to form a triangle.
6. Turn the triangle down, then fold top left corner over to the right. Continue through the entire strip of fillo.
7. Repeat process with remaining fillo strips and filling.
8. Brush a baking sheet with olive oil and place triangles on sheet. Brush top of triangles with olive oil.
Bake at 375°F (190°C) for 15 minutes, or until golden brown.
1. Allow fillo dough to thaw in refrigerator overnight or on the counter top for at least 2 hours. Bring to room temperature before using.
2. Carefully unroll fillo sheets onto a smooth, dry surface.
3. Cover fillo with a plastic wrap or with a damp towel.
4. Keep fillo covered until needed. Do not leave uncovered for over 5 minutes to avoid drying out.
Tip: For a lighter, flakier pastry, brush each layer with melted butter. To prevent edges from cracking, brush edges first then work toward the center.
For best results, fillings should be chilled and not excessively moist.