Preheat your oven to 350°F (175°C) and prepare a large baking sheet by lining it with parchment paper to prevent sticking.
In a mixing bowl, combine the finely chopped almonds, honey, ground cinnamon, and nutmeg. Stir until the ingredients are completely blended. Set aside to let the flavors meld together for about 10 minutes.
Take one sheet of phyllo dough and brush it lightly with melted butter using a pastry brush. Place another sheet on top of it and brush the surface again with more melted butter to create a rich layer.
Carefully cut the stacked phyllo dough into long strips, each approximately 3 inches wide. This will serve as the base for your cigars.
At one end of each phyllo strip, place about 2 tablespoons of the almond mixture. Fold the sides of the strip over the filling, then roll it up tightly from that end to form a neat cigar shape. Make sure the filling is secure inside.
Place each finished cigar seam-side down on the prepared baking sheet, making sure to leave a little space between each one. Continue this process until all phyllo sheets and almond filling are used.
Brush the tops of the assembled cigars with any remaining melted butter for a beautiful golden finish. If you like, sprinkle sesame seeds on top for added crunch and flavor.
Bake the cigars in the preheated oven for 20-25 minutes, or until they are golden brown and crispy. Keep an eye on them to prevent over-browning.
Once baked, remove the cigars from the oven and allow them to cool slightly on the baking sheet. Just before serving, dust them generously with powdered sugar for a sweet touch.