1. Oil a sheet pan and set aside. Place the phyllo on a counter and cover with plastic wrap, then cover that with a barely damp towel, making sure the phyllo is not exposed to air. Mix the cheese and lemon zest together in a small bowl.

2. Spritz each sheet of phyllo with oil, then sprinkle half of each with 2 tablespoons of the cheese mixture. Fold each sheet in half and cut it into eight 4-inch-wide pieces. Place each asparagus spear diagonally across each piece of phyllo with the tip pointing to the lower left-hand corner, and fold that corner over the tip. Roll the lower right corner over the spear, and keep rolling to wrap completely. Place seam-side down on the prepared sheet pan. You can tightly wrap the pan and chill for up to 24 hours before baking.

3. Bake at 400°F until crisp and golden, about 20 minutes. Serve warm.