Cook the ground beef filling. Begin in a pan over medium heat with the sofrito. Sauté for a minute until fragrant before adding the ground beef. Continue to brown the meat while breaking it up with a spoon, until it's fully cooked. Drain any excess fat.
Season the beef. Season the meat with sazon & adobo and mix to combine everything.
Fill the empanadas. Add a tablespoon of ground beef to the center of an empanada dough disc and top with a sprinkle of shredded cheddar cheese.
Close the empanadas. Fold the empanadas closed and fold the edges over themselves or crimp with a fork. Continue steps 3-4 until all of the filling and/or empanada dough is used.
If baking: Preheat oven to 400 degrees F / 205 degrees C. Line a baking sheet with parchment paper. Beat together the egg and water in a small bowl to make an egg wash. Arrange the empanadas on the baking sheet before brushing with the egg wash. Bake for 15-20 minutes or until golden brown all around.
If frying: Heat oil over medium high heat. Fry empanadas in batches for a few minutes on each side, or until crispy and golden brown all around. Transfer to a paper towel lined plate to drain excess oil before serving.