Preheat oven to 400 degrees. Prepare a baking pan by lining with foil or parchment.
In a medium bowl, combine chicken, celery, wing sauce and blue cheese. Mix well.
Place 2 sheets of phyllo dough on a clean surface. Spray the top sheet with olive oil spray or brush with melted butter. Top with another 2 sheets of phyllo. Spray again.
Using a pizza cutter or a sharp knife, cut the layered sheets long ways into equal thirds to make three long strips. Place a heaping tablespoon of chicken filling on the bottom of each strip.
Beginning with one piece, fold the right hand corner to the left edge, forming a triangular shape. Carefully fold that piece upward. Finally, fold from left to the right hand edge, and then upward again. Continue this pattern until the entire filling is securely rolled up into a triangle. {This is the same process as folding paper into a “football” when you were a kid.} There should be no open edges on the triangle and the filling should be tucked inside the phyllo triangle.
Continue this process with the rest of the phyllo dough sheets and filling. You should get about 18 phyllo triangles.
Place each triangle on prepared baking pan. Lightly spray with olive oil or brush with melted butter. Bake for 12-15 minutes until golden brown.