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Alternative Pan Fry Method: If you don't have access to an air fryer, you can make these egg rolls using a traditional pan fry method. Add enough oil to a medium skillet with high walls so the oil is about 1/2 inch up the side of the skillet. Heat oil on medium high heat until it reaches 350°F. Add egg rolls and fry for 3 to 4 minutes, flip, and fry for another 3 to 4 minutes until golden brown. Remove and let them drain and cool on a few paper towels.