In a large bowl, combine the flour, dry yeast, and salt. Add the olive oil and lukewarm water, and knead until a soft, non-sticky dough forms. If the dough is too dry, add a little more water.
Cover the dough with a clean kitchen towel and let it rise in a warm place for about an hour, or until doubled in size.
While the dough is rising, chop the walnuts, then grate the mozzarella and Parmesan cheese.
Combine the gorgonzola with the grated cheeses, honey, oregano, and basil. Add the chopped walnuts.
Divide the risen dough into two equal portions. On a lightly floured surface, roll each portion into a circle, about 5 mm thick.
Spoon the gorgonzola-walnut mixture onto one half of each dough circle. Fold the other half over the filling, and press the edges firmly to seal, ensuring that the filling doesn't leak out.
Preheat the oven to 400°F (200°C). Brush the top of the calzones with beaten egg for a beautiful golden-brown color.
Place the calzones on a baking sheet lined with parchment paper and bake for 20-25 minutes, or until golden brown.
Let it rest for a few minutes before slicing to allow the filling to cool slightly.
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