I was once told that the correct way to make a Cornish pasty was to make the savoury part as per usual, but with a little fold of pastry hanging off the corner. A dollop of jam is placed thereing and then the pastry is twisted closed. The pasty is then cooked as per usual, the idea being that by the time you have eaten the pasty, the bit with the jam in has cooled sufficiently for you to eat your pudding.