Lay one of the collard leaves on a cutting board so that the side with the prominent spine is facing up (it is the outer, or convex side of the leaf). Cut the stem off of the leaf at the base of the collard. Then, using a knife, slide it carefully across the raised part of the stem, keeping the knife parallel to your cutting board and the leaf. Slide the knife down the length of the stem to “shave” the stem. Your goal is not to remove the stem, but to shave it until it is about as thin as the leaf itself. This will make the leaves more pliable and easier to roll around the roast beef. Repeat this process for all 6 leaves.
Spread one to two tablespoons of the horseradish sauce on the collard leaf (unless storing for later), then add the cheese, roast beef, and bell pepper strips, and roll.
Tie the wrap together then eat immediately or store in the refrigerator for later use.