@D Whiz,
This is just my preference or take,
You need to brush them before hitting the oven. The goal you are trying to achieve is for the butter/lard mixture to start frying the dough between the layers. The outside brush will expedite this process. If your not getting layer separation and crispiness, and your not getting fat leaking, than i would suggest going a little heavier on the smear when rolling.
Also, your roux for the choux should be quite dry. I use a water base pate a choux, no dairy product at all. I also use a little less salt. I'm not looking for richness or flavor impact. For this item only.
I'm sure you know choux paste but I find the only way to really dry out the roux is to cook it as long as I can in the pot to release the H2O. Then I put it in a mixer and paddle it. You will see the steam evaporate. The excess water in the roux is your enemy. The eggs aren't. If you leave excess water in your roux, you won't get the pop you really need. It will also inhibit the hollowing out of the paste and lose it's structure.
For me personally, the choux should not impart any flavor, it should just be a thin crisp vessel for the filling. A good Sfogliatelle is one that when you bite into it, the only moisture/softness you encounter is that of the filling. This is just my preference. I grease down the logs and freeze them. I use the freezer as a tool and not storage. This allows me to form and bake quickly. I dislike them if they sit at all after baking. They should be enjoyed as they are cooling from the oven.
My 2 cents
/img/vbsmilies/smilies/licklips.gif Nothing better than to enjoy a merenda munching sfogliatella and sipping an espresso or a light Sambuca cocktail.