Defrost the puff pastry in the refrigerator overnight. Alternatively, let it sit out on the kitchen counter for 30–40 minutes or until it unfolds easily.

Cut the puff pastry horizontally into thirds. Then cut each third vertically into eight strips. You’ll have 24 pieces that are roughly 1 inch wide and 3–3½ inches tall.

Cut the hot dogs into quarters. Place one quarter of a hot dog on the short end of one of the puff pastry pieces, and roll toward the other short end to enclose the hot dog. Press the seam lightly with your thumb to seal. Repeat with the remaining hot dogs and puff pastry.

Preheat oven to 400°F. Place the pigs in a blanket on a sheet pan and place in the refrigerator for at least 20 minutes.

Remove from the refrigerator.

Optional: in a small bowl, beat the egg with 1 teaspoon of water. Brush on the tops of the pigs in a blanket. Sprinkle with poppy seeds and/or sesame seeds.

Bake for 12–15 minutes or until the tops are golden brown. Remove from the oven and allow to cool for several minutes before serving. Pigs in a blanket can be served warm or at room temperature.