In a medium saucepan, combine 3 cups sugar, lemon slices, and 3 cups water; bring to a boil. Reduce heat and simmer until sugar dissolves and the mixture is syrupy about 10-15 minutes. Set aside to cool.
With a food processor, chop 2 cups of walnuts using short pulses until finely chopped. In a large bowl, combine the walnuts, 1 cup cream of wheat, 4 tablespoons sugar, and lemon zest. Add milk and stir until the mixture is slightly moist.
Preheat the oven to 375 degrees Fahrenheit.
Unroll the fillo dough. Trim the whole stack, if necessary, to fit the 13x9-inch pan. The easiest way to do this is with a pair of scissors. Cover phyllo sheets with a clean cloth to keep from drying out as you work. If you work fast enough, you don't need to cover it.
Place one sheet of dough on a clean surface and lightly brush with melted butter. Repeat with another fillo sheet. Place 1/4 of the walnut mixture along one side of the sheets, and roll them up as tightly as you can. Repeat the process with remaining fillo and walnuts.
Place the rolls on an ungreased baking sheet and pour evenly with the remaining butter. Bake for 30-45 minutes.
Oven temperature varies, so keep an eye on the baklava. It is done when it’s golden brown in color.
Remove from the oven and turn the oven off! Pour cooled syrup immediately over baklava making sure you pour all over. Return to the oven for 5 more minutes.
Remove from the oven and let baklava cool for a few hours or until the syrup is set in. Using a sharp knife or scissors, cut the rolls diagonally into bite-sized pieces. Enjoy!
For fillo dough, we recommend this brand. If you're using fillo by a different brand, keep in mind that sheets are smaller, thinner, and thus more fragile. You might want to use three sheets for each roll and you might end up with more than 4 rolls in order to use up all the filling.
You can roll up the fillo from either the short or long side, depending on the brand and size of fillo sheets you're using. Your goal is to fit the rolls into your baking sheet.
Your fillo sheets might be torn a little. Don't worry - just rotate/flip the sheets when layering, so that no two tears are on the same spot.
If you wish, add a teaspoon of cinnamon to the filling.
You can also cut the baklava before baking. This will speed up the baking process.
Never pour hot syrup over the hot baklava. Your baklava will turn into a mush. Always use the syrup cooled down to room temperature to pour over the hot baklava.