La villa Santo Sospir

You can find this in the special features section of one of his Orphic trilogy DVDs from Criterion ('Orpheus' I think).

Cocteau brings the viewer around a home he painted in 1950, the quality of the 16mm film is good enough that you can certainly appreciate his work which covers the walls and doors of the island villa. Lots of nice esoteric imagery if you know what you're looking for (Cocteau was apparently head of the Priory of Sion from 1918 to '63), like fish and medieval beasties.

He also shows more than a few of his works on canvas. The pacing of the whole piece is engaging and his characteristic visual flourishes and cinematic tricks are there.