They are a slice of bread buttered and cut into strips. It is a way that Brits traditionally have got young children to eat a boiled egg with dipping the soldiers in the dare I say it runny egg (are we allowed that anymore :o)
I can remember even seeing kits in the shop with egg cups the body and legs of the soldier and the egg cosy a soldiers hat, something like a bearskin or hats you see in children's story books for soldiers, then you were supposed to draw the head yourself.