Rub the venison with the oil and season well. Preheat a large frying pan over a high heat, add the venison and sear on all sides for around 5-7 minutes, until golden brown. Remove from the heat and transfer to a wire rack to cool.
Soak the porcini mushrooms in 200ml of boiling water until softened (around 20 minutes). Remove from the liquid, squeeze dry and then chop finely, reserve the soaking liquid. Finely chop the mushrooms or put in a food processor and blitz until finely chopped.
Heat the butter in a large frying pan, add the garlic and chopped mushrooms including the porcini. Season and add the chopped thyme. Leave to cook until the water has evaporated (around 20 minutes). Leave to cool completely and reserve a quarter of the mushrooms for the sauce.
Lay 3 large sheets of cling film, overlapping on a work surface. Put the Carmarthen Ham on top, overlapping the edges to make one sheet large enough to wrap the meat. Spread the mushroom mixture over the ham then sit the meat on top and spread with the remaining mushroom mixture.
Roll the ham around the venison using the cling film, wrap tightly then chill for 15 minutes to firm up.
On a floured surface, roll the pastry into a square or rectangle big enough to wrap the fillet – approximately 35cm square. Trim to neaten and roll the edges of the joining sides a little more thinly. Brush the edges with the beaten egg then remove the cling film from the venison and position it in the middle of the pastry.
Wrap the pastry along the length of the beef, overlapping slightly at the join. Fold up each end like a parcel and transfer to a lightly greased baking tray seam side down. Roll out any remaining pastry and cut shapes to decorate.
Brush the Wellington with egg all over and press on the decorations brushing again with the egg wash. Chill for 20 minutes (or up to 12 hours if you wish).
Pre-heat the oven to 220C/200fan/Gas mark 6 and heat a baking tray for 5 minutes. Line the baking tray with greaseproof paper and lay the venison parcel on top.
Bake for 35 minutes for medium and longer for well done.
Remove from the oven and leave to rest for 10 minutes before slicing and serving with a cranberry and orange relish.